Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A probabilistic representation for the value of zero-sum differential
  games with incomplete information on both sides   We prove that for a class of zero-sum differential games with incomplete
information on both sides, the value admits a probabilistic representation as
the value of a zero-sum stochastic differential game with complete information,
where both players control a continuous martingale. A similar representation as
a control problem over discontinuous martingales was known for games with
incomplete information on one side (see Cardaliaguet-Rainer [8]), and our
result is a continuous-time analog of the so called splitting-game introduced
in Laraki [20] and Sorin [27] in order to analyze discrete-time models. It was
proved by Cardaliaguet [4, 5] that the value of the games we consider is the
unique solution of some Hamilton-Jacobi equation with convexity constraints.
Our result provides therefore a new probabilistic representation for solutions
of Hamilton-Jacobi equations with convexity constraints as values of stochastic
differential games with unbounded control spaces and unbounded volatility.

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The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
15
The categories of this paper are: nucl-ex
17
The categories of this paper are: q-fin
16
The categories of this paper are: stat
27
The categories of this paper are: comp-gas
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The categories of this paper are: ao-sci
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
6
The categories of this paper are: astro-ph
18
The categories of this paper are: econ
9
The categories of this paper are: nlin
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The categories of this paper are: funct-an