Differential games with asymmetric and correlated information
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Publication:747904
DOI10.1007/S13235-014-0131-1zbMATH Open1325.49045arXiv1403.7498OpenAlexW2014252823MaRDI QIDQ747904FDOQ747904
Authors: Miquel Oliu-Barton 
Publication date: 19 October 2015
Published in: Dynamic Games and Applications (Search for Journal in Brave)
Abstract: Differential games with asymmetric information were introduced by Cardaliaguet (2007). As in repeated games with lack of information on both sides (Aumann and Maschler (1995)), each player receives a private signal (his type) before the game starts and has a prior belief about his opponent's type. Then, a differential game is played in which the dynamic and the payoff function depend on both types: each player is thus partially informed about the differential game that is played. The existence of the value function and some characterizations have been obtained under the assumption that the signals are drawn independently. In this paper, we drop this assumption and extend these two results to the general case of correlated types. This result is then applied to repeated games with incomplete information: the characterization of the asymptotic value obtained by Rosenberg and Sorin (2001) and Laraki (2001) for the independent case is extended to the general case.
Full work available at URL: https://arxiv.org/abs/1403.7498
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comparison principledifferential gamesvalue functionviscosity solutionsincomplete informationFenchel duality
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Problems with incomplete information (optimization) (49N30) Multistage and repeated games (91A20) Control/observation systems with incomplete information (93C41) Duality theory (optimization) (49N15)
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Cited In (20)
- A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions
- Repeated Games with Lack of Information on One Side: The Dual Differential Approach
- Solving two-state Markov games with incomplete information on one side
- Continuous-time Markov games with asymmetric information
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- Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
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