2011/06/14 by Christine Grün, Grün, Christine
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Stochastic processes and financial applications #math.PR
paper · pdf · doi:10.48550/arxiv.1106.2629
arxiv created 2011/06/14 · openalex publication_date 2011/06/14 · arxiv updated 2011/06/15 · openalex created_date 2022/10/05 · openalex updated_date 2026/07/28
We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the informed player has to reveal in order to play optimally: to do so, we show that the value function of this zero-sum game can be rewritten as a minimization problem over some martingale measures with a payoff given by the solution of a backward stochastic differential equation.