44 research outputs found
Continuous-time limit of dynamic games with incomplete information and a more informed player
We study a two-player, zero-sum, dynamic game with incomplete information
where one of the players is more informed than his opponent. We analyze the
limit value as the players play more and more frequently. The more informed
player observes the realization of a Markov process (X,Y) on which the payoffs
depend, while the less informed player only observes Y and his opponent's
actions. We show the existence of a limit value as the time span between two
consecutive stages goes to zero. This value is characterized through an
auxiliary optimization problem and as the unique viscosity solution of a second
order Hamilton-Jacobi equation with convexity constraints
Zero-sum stopping games with asymmetric information
We study a model of two-player, zero-sum, stopping games with asymmetric
information. We assume that the payoff depends on two continuous-time Markov
chains (X, Y), where X is only observed by player 1 and Y only by player 2,
implying that the players have access to stopping times with respect to
different filtrations. We show the existence of a value in mixed stopping times
and provide a variational characterization for the value as a function of the
initial distribution of the Markov chains. We also prove a verification theorem
for optimal stopping rules which allows to construct optimal stopping times.
Finally we use our results to solve explicitly two generic examples
A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
We prove that for a class of zero-sum differential games with incomplete
information on both sides, the value admits a probabilistic representation as
the value of a zero-sum stochastic differential game with complete information,
where both players control a continuous martingale. A similar representation as
a control problem over discontinuous martingales was known for games with
incomplete information on one side (see Cardaliaguet-Rainer [8]), and our
result is a continuous-time analog of the so called splitting-game introduced
in Laraki [20] and Sorin [27] in order to analyze discrete-time models. It was
proved by Cardaliaguet [4, 5] that the value of the games we consider is the
unique solution of some Hamilton-Jacobi equation with convexity constraints.
Our result provides therefore a new probabilistic representation for solutions
of Hamilton-Jacobi equations with convexity constraints as values of stochastic
differential games with unbounded control spaces and unbounded volatility
Zero-sum stopping games with asymmetric information
We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples
A Dynkin game on assets with incomplete information on the return
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion (X; Y ). Then we characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of (X; Y ) to a set with moving boundary. A detailed description of the stopping sets for the two players is provided along with global C1 regularity of the value function