Games with incomplete information in continuous time and for continuous types

DOI10.1007/S13235-012-0043-XzbMATH Open1273.91020arXiv1202.4845OpenAlexW2088710292MaRDI QIDQ367457FDOQ367457

Catherine Rainer, Pierre Cardaliaguet

Publication date: 16 September 2013

Published in: Dynamic Games and Applications (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/1202.4845

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zbMATH Keywords

Hamilton-Jacobi equationsincomplete informationcontinuous-time gamemartingale measures

Mathematics Subject Classification ID

2-person games (91A05) Applications of optimal control and differential games (49N90) Martingales with continuous parameter (60G44)

Cites Work

• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Stochastic differential games with asymmetric information
• A continuous time approach for the asymptotic value in two-person zero-sum repeated games
• On a Continuous-Time Game with Incomplete Information
• Differential Games with Asymmetric Information
• Tightness criteria for laws of semimartingales
• Price dynamics on a stock market with asymmetric information
• The value of two-person zero-sum repeated games with lack of information on both sides
• Measure-valued random processes
• “Cav u” and the Dual Game

Cited In (18)

• Controlled measure-valued martingales: a viscosity solution approach
• Continuous-time limit of dynamic games with incomplete information and a more informed player
• Zero-Sum Stopping Games with Asymmetric Information
• Extensions of the Cav(u) Theorem for Repeated Games with Incomplete Information on One Side
• Continuous-time Markov games with asymmetric information
• A two-player zero-sum game where only one player observes a Brownian motion
• Existence of value for a differential game with asymmetric information and signal revealing
• Existence of value functions of differential games with incomplete information in partially order spaces
• Differential games with incomplete information on a continuum of initial positions and without Isaacs condition
• Games of incomplete information, ergodic theory, and the measurability of equilibria
• Pure and random strategies in differential game with incomplete informations
• Differential games with asymmetric information and without Isaacs' condition
• Hamilton-Jacobi-Isaacs equations for differential games with asymmetric information on probabilistic initial condition
• Continuity Properties of Value Functions in Information Structures for Zero-Sum and General Games and Stochastic Teams
• Infinite horizon differential games with asymmetric information
• Existence of value for differential games with incomplete information and signals on initial states and payoffs
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