Numerical approximation of the value of a stochastic differential game with asymmetric information

Banas L, Ferrari G, Randrianasolo TA (Submitted)
arXiv:1912.13248.

Preprint | Eingereicht | 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

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Banas L, Ferrari G, Randrianasolo TA. Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. Submitted.
Banas, L., Ferrari, G., & Randrianasolo, T. A. (Submitted). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248
Banas, L., Ferrari, G., and Randrianasolo, T. A. (Submitted). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248.
Banas, L., Ferrari, G., & Randrianasolo, T.A., Submitted. 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, Submitted.
Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. (Submitted).
Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. “Numerical approximation of the value of a stochastic differential game with asymmetric information”. arXiv:1912.13248 (Submitted).

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