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A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory

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Abstract

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given by the solution of a quasilinear partial differential equation with obstacle.

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Authors and Affiliations

  1. Laboratoire de Mathematiques de Brest UMR 6205, 6 avenue Le Gorgeu, CS 93837, 29238, Brest cedex 3, France

    Christine Grün

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  1. Christine Grün
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Correspondence to Christine Grün.

Additional information

Supported by the Marie Curie Initial Training Network (ITN) project: “Deterministic and Stochastic Controlled Systems and Application”, FP7-PEOPLE-2007-1-1-ITN, No. 213841-2.

Ce travail a bénéficié une aide de l’Agence Nationale de la Recherche portant la référence ANR-10-BLAN 0112.

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Grün, C. A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory. Appl Math Optim 66, 363–385 (2012). https://doi.org/10.1007/s00245-012-9175-z

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