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 opti...

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Bibliographic Details
Published in:Mathematics of operations research Vol. 34; no. 4; pp. 769 - 794
Main Authors: Cardaliaguet, Pierre, Rainer, Catherine
Format: Journal Article
Language:English
Published: Linthicum INFORMS 01.11.2009
Institute for Operations Research and the Management Sciences
Subjects:
Analysis
Brownian movements
continuous-time game
Dynamic programming
Game theory
Hamilton-Jacobi equations
incomplete information
Martingales
Mathematical constants
Mathematical discontinuity
Mathematical functions
Mathematical theorems
Mathematics
Optimal strategies
Optimization algorithms
Probability
Problem solving
Stopping distances
Studies
Viscosity
United States
Continuous-time game
incomplete information
Hamilton-Jacobi equations
ISSN:0364-765X, 1526-5471
Online Access:Get full text
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Summary: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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content type line 14
ISSN:0364-765X
1526-5471
DOI:10.1287/moor.1090.0414