Arbeitspapier

Numerical appromixation of the value of a stochastic differential game with asymmetric information

to related objects

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.

Language: Englisch

Bibliographic citation: Series: Center for Mathematical Economics Working Papers ; No. 630

Classification: Wirtschaft

Subject: Spieltheorie
Stochastisches Spiel
Asymmetrische Information

Event: Geistige Schöpfung

(who): Banas, Lubomir
Ferrari, Giorgio
Randrianasolo, Tsiry A.

Event: Veröffentlichung

(who): Bielefeld University, Center for Mathematical Economics (IMW)

(where): Bielefeld

(when): 2019

Handle: http://hdl.handle.net/10419/227826

URN: urn:nbn:de:0070-pub-29399744

Last update: 10.03.2025, 11:45 AM CET

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Object type

Arbeitspapier

Associated

Banas, Lubomir
Ferrari, Giorgio
Randrianasolo, Tsiry A.
Bielefeld University, Center for Mathematical Economics (IMW)

Time of origin

2019

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