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.
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页码：49 / 71
页数：23
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