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Games with incomplete information in continuous time and for continuous types

dc.contributor.authorCardaliaguet, Pierre
dc.contributor.authorRainer, Catherine
dc.date.accessioned2012-02-29T14:38:15Z
dc.date.available2012-02-29T14:38:15Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8329
dc.language.isoenen
dc.subjectHamilton-Jacobi equationsen
dc.subjectContinuous-time gameen
dc.subjectmartingale measuresen
dc.subjectincomplete informationen
dc.subject.ddc519en
dc.titleGames with incomplete information in continuous time and for continuous typesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameDynamic Games and Applications
dc.relation.isversionofjnlvol2
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages206-227
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s13235-012-0043-x
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00672658en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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