Games with incomplete information in continuous time and for continuous types
Cardaliaguet, Pierre; Rainer, Catherine (2012), Games with incomplete information in continuous time and for continuous types, Dynamic Games and Applications, 2, 2, p. 206-227. http://dx.doi.org/10.1007/s13235-012-0043-x
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00672658
Journal nameDynamic Games and Applications
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Abstract (EN)We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an auxiliary optimization problem over a set of measure-valued processes. Then we use this equivalent formulation to characterize the value function as the viscosity solution of a special type of a Hamilton-Jacobi equation. This paper generalizes the results of a previous work of the authors , where only a finite number of possible payoffs is considered.
Subjects / KeywordsHamilton-Jacobi equations; Continuous-time game; martingale measures; incomplete information
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