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Markov Games with Frequent Actions and Incomplete Information—The Limit Case

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorCardaliaguet, Pierre*
hal.structure.identifierLaboratoire de Mathématiques [LM-Brest]
hal.structure.identifierLaboratoire de mathématiques de Brest [LM]
dc.contributor.authorRainer, Catherine*
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorRosenberg, Dinah*
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorVieille, Nicolas*
dc.date.accessioned2017-10-31T13:53:45Z
dc.date.available2017-10-31T13:53:45Z
dc.date.issued2013-07
dc.identifier.issn0364-765X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16882
dc.language.isoenen
dc.subjectMarkov gamesen
dc.subjectincomplete informationen
dc.subjectzero-sum gamesen
dc.subjectHamilton-Jacobi equationsen
dc.subjectrepeated gamesen
dc.subject.ddc519en
dc.titleMarkov Games with Frequent Actions and Incomplete Information—The Limit Caseen
dc.title.alternativeMarkov games with frequent actions and incomplete informationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation.en
dc.relation.isversionofjnlnameMathematics of Operations Research
dc.relation.isversionofjnlvol41en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2015-06
dc.relation.isversionofjnlpages49-71en
dc.relation.isversionofdoi10.1287/moor.2015.0715en
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-00843475en
dc.relation.isversionofjnlpublisherInstitute of Management Sciencesen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-10-31T13:50:14Z
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