TY  - GEN
AB  - 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.
DA  - 2019
KW  - zero-sum stochastic differential games
KW  - asymmetric information
KW  - probabilistic numerical approximation
KW  - discrete convex envelope
KW  - convexity constrained Hamilton-Jacobi- Bellmann equation
KW  - viscosity solution
LA  - eng
PY  - 2019
SN  - 0931-6558
SP  - 28-
TI  - Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29399744
Y2  - 2024-11-22T01:28:54
ER  -