Arbeitspapier
Numerical appromixation of the value of a stochastic differential game with asymmetric information
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the approximation of the value function which is discrete w.r.t. the time and convexity variables, and show that the scheme converges to the unique viscosity solution of the considered problem. Furthermore, we generalize the semi-discrete scheme to obtain an implementable fully discrete numerical approximation of the value function and present numerical experiments to demonstrate the properties of the proposed numerical scheme.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 630
- Klassifikation
-
Wirtschaft
- Thema
-
Spieltheorie
Stochastisches Spiel
Asymmetrische Information
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Banas, Lubomir
Ferrari, Giorgio
Randrianasolo, Tsiry A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2019
- Handle
- URN
-
urn:nbn:de:0070-pub-29399744
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Banas, Lubomir
- Ferrari, Giorgio
- Randrianasolo, Tsiry A.
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2019
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