Games with incomplete information in continuous time and for continuous types
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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.
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Cites work
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Cited in
(20)- Existence of value for a differential game with asymmetric information and signal revealing
- Differential games with incomplete information on a continuum of initial positions and without Isaacs condition
- Zero-sum stopping games with asymmetric information
- Existence of value functions of differential games with incomplete information in partially order spaces
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- Infinite horizon differential games with asymmetric information
- Games of incomplete information, ergodic theory, and the measurability of equilibria
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- Controlled measure-valued martingales: a viscosity solution approach
- A two-player zero-sum game where only one player observes a Brownian motion
- scientific article; zbMATH DE number 4055410 (Why is no real title available?)
- Pure and random strategies in differential game with incomplete informations
- Hamilton-Jacobi-Isaacs equations for differential games with asymmetric information on probabilistic initial condition
- Existence of value for differential games with incomplete information and signals on initial states and payoffs
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- Continuous-time limit of dynamic games with incomplete information and a more informed player
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- scientific article; zbMATH DE number 910817 (Why is no real title available?)
- Continuity Properties of Value Functions in Information Structures for Zero-Sum and General Games and Stochastic Teams
- On a continuous-time game with incomplete information
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