2018/01/01 by Fabien Gensbittel, Gensbittel, Fabien
Economics, Econometrics and Finance · Mathematics · #Climate Change Policy and Economics #Economic theories and models #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1802.08536
openalex publication_date 2018/02/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.