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Infinite Horizon Differential Games with Asymmetric Information

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Abstract

This article is concerned with the existence of a value for a zero-sum differential game with an asymmetric information on initial state with an infinite horizon running cost. Before the game begins, an initial state is chosen randomly from a finite set and each player receives a private signal generated by the chosen initial state. The main result is that the game has a value with random non-anticipative strategies with delay and that its value function can be characterized as the unique bounded continuous viscosity solution of a suitable Hamilton–Jacobi–Isaacs equation.

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Authors and Affiliations

  1. Laboratoire de Mathématiques de Bretagne Atlantique, CNRS-UMR 6205, Université de Bretagne Occidentale, 6, Avenue Victor le Gorgeu, CS 93837, 29238, Brest cedex 3, France

    Xiaochi Wu

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  1. Xiaochi Wu
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Wu, X. Infinite Horizon Differential Games with Asymmetric Information. Dyn Games Appl 9, 858–880 (2019). https://doi.org/10.1007/s13235-018-0272-8

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