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On continuous time games with asymmetric information by Catherine Rainer
Автор: LSE Statistics
Загружено: 2018-06-08
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Presentation at the LSE Risk and Stochastics Conference 2018 by
Catherine Rainer, Brest
I'll try in this talk to present the main ideas on zero-sum continuous time games where one of the two players has some private information: how to formalize these games, the associated Hamilton-Jacobi-Isaacs-equation and the analyse of the optimal revelation in terms of an optimization problem over a set of martingales. In a second time I'll present the last developments in this area.
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