Markov Games with Frequent Actions and Incomplete Information-The Limit Case

被引：10

作者：

Cardaliaguet, Pierre ^{[1
]}

Rainer, Catherine ^{[2
]}

Rosenberg, Dinah ^{[3
]}

Vieille, Nicolas ^{[3
]}

机构：

[1] Univ Paris 09, CEREMADE, F-75775 Paris 16, France

[2] Univ Bretagne Occidentale, F-29285 Brest, France

[3] HEC Paris, Dept ESD, F-78351 Jouy En Josas, France

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 2016年 / 41卷 / 01期

关键词：

Markov games; incomplete information; zero-sum games; Hamilton-Jacobi equations; repeated games; STOCHASTIC GAMES; OBSTACLE PROBLEM;

D O I：

10.1287/moor.2015.0715

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：49 / 71

页数：23

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