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dc.contributor.authorCardaliaguet, Pierre
dc.contributor.authorRainer, Catherine
dc.date.accessioned2011-09-06T15:49:29Z
dc.date.available2011-09-06T15:49:29Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6935
dc.language.isoenen
dc.subjectcontinuous-time gameen
dc.subjectincomplete informationen
dc.subjectHamilton-Jacobi equationsen
dc.subject.ddc519en
dc.subject.classificationjelD83en
dc.subject.classificationjelC61en
dc.titleOn a Continuous-Time Game with Incomplete Informationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenFor 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.en
dc.relation.isversionofjnlnameMathematics of Operations Research
dc.relation.isversionofjnlvol34en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages769-794en
dc.relation.isversionofdoihttp://dx.doi.org/10.1287/moor.1090.0414en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00326093/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherINFORMSen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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