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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