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...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Mathematics of operations research Jg. 34; H. 4; S. 769 - 794
Hauptverfasser:	Cardaliaguet, Pierre, Rainer, Catherine
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Linthicum INFORMS 01.11.2009 Institute for Operations Research and the Management Sciences
Schlagworte:	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-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!