A two player zerosum game where only one player observes a Brownian motion

Abstract

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.