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A Two-Player Zero-sum Game Where Only One Player Observes a Brownian Motion

Author

Listed:
  • Fabien Gensbittel

    (Manufacture des Tabacs Allée de Brienne)

  • Catherine Rainer

    (Université de Bretagne Occidentale)

Abstract

We study a two-player zero-sum game in continuous time, where the payoff—a running cost—depends on a Brownian motion. This Brownian motion is observed in real time by one of the players. The other one observes only the actions of his/her opponent. We prove that the game has a value and characterize it as the largest convex subsolution of a Hamilton–Jacobi equation on the space of probability measures.

Suggested Citation

  • Fabien Gensbittel & Catherine Rainer, 2018. "A Two-Player Zero-sum Game Where Only One Player Observes a Brownian Motion," Dynamic Games and Applications, Springer, vol. 8(2), pages 280-314, June.
    • Handle: RePEc:spr:dyngam:v:8:y:2018:i:2:d:10.1007_s13235-017-0219-5
    DOI: 10.1007/s13235-017-0219-5
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    References listed on IDEAS

    as
    1. Miquel Oliu-Barton, 2015. "Differential Games with Asymmetric and Correlated Information," Dynamic Games and Applications, Springer, vol. 5(3), pages 378-396, September.
    2. Robert J. Aumann, 1995. "Repeated Games with Incomplete Information," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262011476, December.
    3. Abraham Neyman, 2013. "Stochastic Games with Short-Stage Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 236-278, June.
    4. Pierre Cardaliaguet & Catherine Rainer & Dinah Rosenberg & Nicolas Vieille, 2016. "Markov Games with Frequent Actions and Incomplete Information—The Limit Case," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 49-71, February.
    5. 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.
    6. repec:dau:papers:123456789/6927 is not listed on IDEAS
    7. Pierre Cardaliaguet & Catherine Rainer, 2012. "Games with Incomplete Information in Continuous Time and for Continuous Types," Dynamic Games and Applications, Springer, vol. 2(2), pages 206-227, June.
    8. Pierre Cardaliaguet & Rida Laraki & Sylvain Sorin, 2012. "A Continuous Time Approach for the Asymptotic Value in Two-Person Zero-Sum Repeated Games," Post-Print hal-00609476, HAL.
    9. repec:dau:papers:123456789/6775 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Fabien Gensbittel, 2019. "Continuous-Time Markov Games with Asymmetric Information," Dynamic Games and Applications, Springer, vol. 9(3), pages 671-699, September.
    2. Banas, Lubomir & Ferrari, Giorgio & Randrianasolo, Tsiry Avisoa, 2020. "Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information," Center for Mathematical Economics Working Papers 630, Center for Mathematical Economics, Bielefeld University.
    3. Fabien Gensbittel & Christine Grün, 2019. "Zero-Sum Stopping Games with Asymmetric Information," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 277-302, February.
    4. Alexander M. G. Cox & Sigrid Kallblad & Martin Larsson & Sara Svaluto-Ferro, 2021. "Controlled Measure-Valued Martingales: a Viscosity Solution Approach," Papers 2109.00064, arXiv.org, revised Aug 2023.

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