Catherine Rainer
LMBA, Université de Brest
http://www.math.univ-brest.fr/perso/catherine.rainer/
Date(s) : 23/06/2017 iCal
11 h 00 min - 12 h 00 min
We study a two-player zero-sum game in continuous time, where the payoff-a running cost-depends on a Brownian motion. This Brownian motion is observed in real time by one of the players. The other one observes only the actions of his opponent. We prove that the game has a value and characterize it as the largest convex subsolution of a Hamilton-Jacobi equation on the space of probability measures.
Common work with Fabien Gensbittel (TSE Toulouse)
http://www.lmba-math.fr/perso/catherine.rainer/Erice2017_Rainer.pdf
https://hal.archives-ouvertes.fr/hal-01378499v2
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