3 papers
math.PR2008
On a continuous time game with incomplete information
Pierre Cardaliaguet, Catherine Rainer
For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be compute…
math.OC2008
A note on the regularity of solutions of Hamilton-Jacobi equations with superlinear growth in the gradient variable
Pierre Cardaliaguet
We investigate the regularity of solutions of first order Hamilton-Jacobi equation with super linear growth in the gradient variable. We show that the solutions are locally Hölder…
math.OC2007
Stochastic differential games with asymmetric information
Pierre Cardaliaguet, Catherine Rainer
We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and c…