  Differential games with asymmetric information were introduced by
Cardaliaguet (2007). As in repeated games with lack of information on both
sides (Aumann and Maschler (1995)), each player receives a private signal (his
type) before the game starts and has a prior belief about his opponent's type.
Then, a differential game is played in which the dynamic and the payoff
function depend on both types: each player is thus partially informed about the
differential game that is played. The existence of the value function and some
characterizations have been obtained under the assumption that the signals are
drawn independently. In this paper, we drop this assumption and extend these
two results to the general case of correlated types. This result is then
applied to repeated games with incomplete information: the characterization of
the asymptotic value obtained by Rosenberg and Sorin (2001) and Laraki (2001)
for the independent case is extended to the general case.
