On a Continuous-Time Game with Incomplete Information

Cardaliaguet, Pierre; Rainer, Catherine

Cardaliaguet, Pierre; Rainer, Catherine (2009), On a Continuous-Time Game with Incomplete Information, Mathematics of Operations Research, 34, 4, p. 769-794. http://dx.doi.org/10.1287/moor.1090.0414

Type

Article accepté pour publication ou publié

External document link

http://hal.archives-ouvertes.fr/hal-00326093/fr/

Date

2009

Journal name

Mathematics of Operations Research

Volume

Number

Publisher

INFORMS

Pages

769-794

Abstract (EN)

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.

Subjects / Keywords

continuous-time game; incomplete information; Hamilton-Jacobi equations

JEL

D83 - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
C61 - Optimization Techniques; Programming Models; Dynamic Analysis