Games with incomplete information in continuous time and for continuous types
Probability
2012-02-23 v1
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.
Keywords
Cite
@article{arxiv.1202.4845,
title = {Games with incomplete information in continuous time and for continuous types},
author = {Pierre Cardaliaguet and Catherine Rainer},
journal= {arXiv preprint arXiv:1202.4845},
year = {2012}
}