Continuous-time Markov games with asymmetric information

2018 
We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state space which is only observed by player 1. This model was already studied in Cardaliaguet et al. (2015) through an approximating sequence of discrete-time games. Our first contribution is the proof of the existence of the value in the continuous-time model based on duality techniques. This value is shown to be the unique solution of the same Hamilton-Jacobi equation with convexity constraints which characterized the limit value obtained in Cardaliaguet et al. (2015). Our second main contribution is to provide a simpler equivalent formulation for this Hamilton-Jacobi equation using directional derivatives and exposed points, which we think is interesting for its own sake as the associated comparison principle has a very simple proof which avoids all the technical machinery of viscosity solutions.
    • Correction
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    0
    Citations
    NaN
    KQI
    []