Numerical approximation of the value of a stochastic differential game with asymmetric information
Banas L, Ferrari G, Randrianasolo TA (Accepted)
arXiv:1912.13248.
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| Angenommen | Englisch
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Abstract / Bemerkung
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle
problem for the value function of a zero-sum differential game with asymmetric
information. We propose a convexity-preserving probabilistic numerical scheme
for the approximation of the value function which is discrete w.r.t. the time
and convexity variables, and show that the scheme converges to the unique
viscosity solution of the considered problem. Furthermore, we generalize the
semi-discrete scheme to obtain an implementable fully discrete numerical
approximation of the value function and present numerical experiments to
demonstrate the properties of the proposed numerical scheme.
Erscheinungsjahr
2019
Zeitschriftentitel
arXiv:1912.13248
Page URI
https://pub.uni-bielefeld.de/record/2939728
Zitieren
Banas L, Ferrari G, Randrianasolo TA. Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. Accepted.
Banas, L., Ferrari, G., & Randrianasolo, T. A. (Accepted). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248
Banas, L., Ferrari, G., and Randrianasolo, T. A. (Accepted). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248.
Banas, L., Ferrari, G., & Randrianasolo, T.A., Accepted. Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248.
L. Banas, G. Ferrari, and T.A. Randrianasolo, “Numerical approximation of the value of a stochastic differential game with asymmetric information”, arXiv:1912.13248, Accepted.
Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. (Accepted).
Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. “Numerical approximation of the value of a stochastic differential game with asymmetric information”. arXiv:1912.13248 (Accepted).