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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…