Abstract
We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual viscosity solutions of some second order Hamilton-Jacobi equation.
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Cardaliaguet, P., Rainer, C. Stochastic Differential Games with Asymmetric Information. Appl Math Optim 59, 1–36 (2009). https://doi.org/10.1007/s00245-008-9042-0
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DOI: https://doi.org/10.1007/s00245-008-9042-0