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Existence of value for a differential game with asymmetric information and signal revealing

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  • Xiaochi Wu

    (Shandong University)

Abstract

In the present paper, we investigate the existence of value for a new class of infinite horizon two-person zero-sum differential games with asymmetric information on the random pay-off. Before the game begins, both players receive private information about the randomly chosen running cost, while during the game a public signal dependent of the cost function is generated and observed by both players. We prove that, with suitable notion of strategies, the game has a value, and its value function is the unique bounded continuous viscosity solution of a Hamilton–Jacobi–Isaacs equation.

Suggested Citation

  • Xiaochi Wu, 2022. "Existence of value for a differential game with asymmetric information and signal revealing," International Journal of Game Theory, Springer;Game Theory Society, vol. 51(1), pages 213-247, March.
    • Handle: RePEc:spr:jogath:v:51:y:2022:i:1:d:10.1007_s00182-021-00790-0
    DOI: 10.1007/s00182-021-00790-0
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