Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information
Banas L, Ferrari G, Randrianasolo TA (2019) Center for Mathematical Economics Working Papers; 630.
Bielefeld: Center for Mathematical Economics.
Diskussionspapier
| Veröffentlicht | Englisch
Download
IMW_working_paper_630.pdf
803.51 KB
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.
1991 Mathematics Subject Classiffication. 65K15,65C20,49N70,49L25,35F21,52A27,52B55
1991 Mathematics Subject Classiffication. 65K15,65C20,49N70,49L25,35F21,52A27,52B55
Stichworte
zero-sum stochastic differential games;
asymmetric information;
probabilistic numerical approximation;
discrete convex envelope;
convexity constrained Hamilton-Jacobi- Bellmann equation;
viscosity solution
Erscheinungsjahr
2019
Serientitel
Center for Mathematical Economics Working Papers
Band
630
Seite(n)
28
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2939974
Zitieren
Banas L, Ferrari G, Randrianasolo TA. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers. Vol 630. Bielefeld: Center for Mathematical Economics; 2019.
Banas, L., Ferrari, G., & Randrianasolo, T. A. (2019). Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information (Center for Mathematical Economics Working Papers, 630). Bielefeld: Center for Mathematical Economics.
Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. 2019. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Vol. 630. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Banas, L., Ferrari, G., and Randrianasolo, T. A. (2019). Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers, 630, Bielefeld: Center for Mathematical Economics.
Banas, L., Ferrari, G., & Randrianasolo, T.A., 2019. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information, Center for Mathematical Economics Working Papers, no.630, Bielefeld: Center for Mathematical Economics.
L. Banas, G. Ferrari, and T.A. Randrianasolo, Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information, Center for Mathematical Economics Working Papers, vol. 630, Bielefeld: Center for Mathematical Economics, 2019.
Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers, 630. Center for Mathematical Economics, Bielefeld (2019).
Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 630.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
Dieses Objekt ist durch das Urheberrecht und/oder verwandte Schutzrechte geschützt. [...]
Volltext(e)
Name
IMW_working_paper_630.pdf
803.51 KB
Access Level
Open Access
Zuletzt Hochgeladen
2020-01-13T14:54:50Z
MD5 Prüfsumme
919fd2b444c2f6f2f3ef09aa220fac14
Google Scholar