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View all- Gensbittel FGrün C(2019)Zero-Sum Stopping Games with Asymmetric InformationMathematics of Operations Research10.1287/moor.2017.092444:1(277-302)Online publication date: 1-Feb-2019
Markov Games with Frequent Actions and Incomplete Information—The Limit Case
Pages 49 - 71
Abstract
We study the asymptotics of a class of two-player, zero-sum stochastic game with incomplete information on one side when the time span between two consecutive stages vanishes. The informed player observes the realization of a Markov chain on which the payoffs depend, whereas the noninformed player only observes his opponent’s actions. We show the existence of a limit value; this value is characterized through an auxiliary optimization problem and as the solution of a Hamilton-Jacobi equation.
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Index Terms
- Markov Games with Frequent Actions and Incomplete Information—The Limit Case
Index terms have been assigned to the content through auto-classification.
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Published: 01 February 2016
Received: 11 July 2013
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View all- Gensbittel FGrün C(2019)Zero-Sum Stopping Games with Asymmetric InformationMathematics of Operations Research10.1287/moor.2017.092444:1(277-302)Online publication date: 1-Feb-2019