Articles

Markov games with frequent actions and incomplete information -- the limit case

P. CARDALIAGUET, C. RAINER, D. ROSENBERG, N. VIEILLE

Mathematics of Operations Research

February 2016, vol. 41, n°1, pp.49 - 71

Departments: Economics & Decision Sciences, GREGHEC (CNRS)

Keywords: Markov games, Incomplete information, Zero-sum games, Hamilton-Jacobi equations, Repeated games

http://dx.doi.org/10.2139/ssrn.2344780


We study the asymptotics of a class of two-player, zero-sum stochastic game with incomplete information on one side when the time span between two consecutive stages vanishes. The informed player observes the realization of a Markov chain on which the payoffs depend, whereas the noninformed player only observes his opponent’s actions. We show the existence of a limit value; this value is characterized through an auxiliary optimization problem and as the solution of a Hamilton-Jacobi equation


JavaScriptSettings