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Dynamic Games and Applications
Published in: Dynamic Games and Applications 2/2018

03-04-2017

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

Authors: Fabien Gensbittel, Catherine Rainer

Published in: Dynamic Games and Applications | Issue 2/2018

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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.
previous article Potential Differential Games
next article One-Dimensional Stationary Mean-Field Games with Local Coupling

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Metadata
Title
A Two-Player Zero-sum Game Where Only One Player Observes a Brownian Motion
Authors
Fabien Gensbittel
Catherine Rainer
Publication date
03-04-2017
Publisher
Springer US
Published in
Dynamic Games and Applications / Issue 2/2018
Print ISSN: 2153-0785
Electronic ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-017-0219-5

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