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

被引：7
|
作者：
Gruen, Christine [1 ]
机构：
[1] Lab Math Brest UMR 6205, F-29238 Brest 3, France
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2012年 / 66卷 / 03期
关键词：
Stochastic differential games; Information incompleteness; Viscosity solutions; Approximation; STOCHASTIC DIFFERENTIAL-GAMES;
D O I：
10.1007/s00245-012-9175-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：363 / 385
页数：23
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