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Existence of value for a differential game with asymmetric information and signal revealing

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Abstract

In the present paper, we investigate the existence of value for a new class of infinite horizon two-person zero-sum differential games with asymmetric information on the random pay-off. Before the game begins, both players receive private information about the randomly chosen running cost, while during the game a public signal dependent of the cost function is generated and observed by both players. We prove that, with suitable notion of strategies, the game has a value, and its value function is the unique bounded continuous viscosity solution of a Hamilton–Jacobi–Isaacs equation.

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  1. School of Mathematics and Statistics, Shandong University, Weihai, Weihai, 264209, People’s Republic of China

    Xiaochi Wu

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  1. Xiaochi Wu
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Wu, X. Existence of value for a differential game with asymmetric information and signal revealing. Int J Game Theory 51, 213–247 (2022). https://doi.org/10.1007/s00182-021-00790-0

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