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A BSDE approach to stochastic differential games with incomplete information

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  • Grün, Christine

Abstract

We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the informed player has to reveal in order to play optimally: to do so, we show that the value function of this zero-sum game can be rewritten as a minimization problem over some martingale measures with a payoff given by the solution of a backward stochastic differential equation.

Suggested Citation

  • Grün, Christine, 2012. "A BSDE approach to stochastic differential games with incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1917-1946.
  • Handle: RePEc:eee:spapps:v:122:y:2012:i:4:p:1917-1946
    DOI: 10.1016/j.spa.2012.02.010
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    References listed on IDEAS

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    1. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
    2. repec:dau:papers:123456789/6927 is not listed on IDEAS
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