On a Continuous-Time Game with Incomplete Information

For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, the authors show that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some martingale measures. The authors also characterize the optimal martingale measures and compute them explicitly in several examples.

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Year of publication:	2009
Authors:	Cardaliaguet, Pierre ; Rainer, Catherine
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	continuous-time game \| incomplete information \| Hamilton-Jacobi equations

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Mathematics of Operations Research, 2009, Vol. 34, no. 4. pp. 769-794.Length: 25 pages
Classification:	D83 - Search, Learning, Information and Knowledge ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010707031