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math.OC2007★ 2 cited
Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Rainer Buckdahn, Marc Quincampoix, Catherine Rainer +1
We provide a short and elementary proof for the recently proved result by G. da Prato and H. Frankowska that -- under minimal assumptions -- a closed set is invariant with respect…
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…