Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/227826
Year of Publication: 
2019
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 630
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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