Abstract

https://ssrn.com/abstract=2344780
 


 



Markov Games with Frequent Actions and Incomplete Information


Pierre Cardaliaguet


Université Paris Dauphine

Catherine Rainer


l’Université de Brest en France

Dinah Rosenberg


HEC Paris - Economics & Decision Sciences

Nicolas Vieille


HEC Paris - Economics & Decision Sciences

October 24, 2013

HEC Paris Research Paper No. ECO/SCD-2013-1007

Abstract:     
We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation.

Number of Pages in PDF File: 37


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Date posted: October 25, 2013 ; Last revised: June 24, 2015

Suggested Citation

Cardaliaguet, Pierre and Rainer, Catherine and Rosenberg, Dinah and Vieille, Nicolas, Markov Games with Frequent Actions and Incomplete Information (October 24, 2013). HEC Paris Research Paper No. ECO/SCD-2013-1007. Available at SSRN: https://ssrn.com/abstract=2344780 or http://dx.doi.org/10.2139/ssrn.2344780

Contact Information

Pierre Cardaliaguet
Université Paris Dauphine ( email )
PARIS
France

Catherine Rainer
l’Université de Brest en France ( email )
Brest
France
Dinah Rosenberg
HEC Paris - Economics & Decision Sciences ( email )
Paris
France

Nicolas Vieille (Contact Author)
HEC Paris - Economics & Decision Sciences ( email )
Paris
France

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