Pathwise strategies for stochastic differential games with an erratum to "Stochastic Differential Games with Asymmetric Information"

TL;DR

This paper introduces a new concept of pathwise strategies for stochastic differential games, clarifying and correcting previous assertions about game strategies with asymmetric information.

Contribution

It proposes a novel pathwise strategy framework that rectifies earlier misunderstandings in stochastic differential games with asymmetric information.

Findings

Established a new pathwise strategy concept

Corrected previous assertions in the literature

Enhanced understanding of strategies in stochastic differential games

Abstract

We introduce a new notion of pathwise strategies for stochastic differential games. This allows us to give a correct meaning to some statement asserted in [Cardaliaguet-Rainer 2009].