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arXiv · 1307.3365

Markov games with frequent actions and incomplete information

Pierre Cardaliaguet·Catherine Rainer·Dinah Rosenberg·Nicolas Vieille
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Abstract

We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation.

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Pierre Cardaliaguet, Catherine Rainer, Dinah Rosenberg, Nicolas Vieille. 2013-07-12. Markov games with frequent actions and incomplete information. https://arxiv.org/abs/1307.3365

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