On a Continuous-Time Game with Incomplete Information

被引：29

作者：

Cardaliaguet, Pierre ^{[1
]}

Rainer, Catherine ^{[1
]}

机构：

[1] Univ Brest, CNRS, Math Lab, UMR 6205, F-29285 Brest, France

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 2009年 / 34卷 / 04期

关键词：

continuous-time game; incomplete information; Hamilton-Jacobi equations;

D O I：

10.1287/moor.1090.0414

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：

For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, the authors show that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some martingale measures. The authors also characterize the optimal martingale measures and compute them explicitly in several examples.

引用

页码：769 / 794

页数：26

共 50 条

[1] Continuous-time limit of dynamic games with incomplete information and a more informed player
Fabien Gensbittel
[J]. International Journal of Game Theory, 2016, 45 : 321 - 352
[2] Continuous-time limit of dynamic games with incomplete information and a more informed player
Gensbittel, Fabien
[J]. INTERNATIONAL JOURNAL OF GAME THEORY, 2016, 45 (1-2) : 321 - 352
[3] STUDY ON CONTINUOUS-TIME HEDGING PROBLEM IN INCOMPLETE MARKETS
吴冲锋
刘海龙
[J]. Journal of Shanghai Jiaotong University(Science), 2002, (01) : 105 - 109
[4] H∞ model reduction for continuous-time Markovian jump systems with incomplete statistics of mode information
Wei, Yanling
Qiu, Jianbin
Karimi, Hamid Reza
Wang, Mao
[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2014, 45 (07) : 1496 - 1507
[5] Games with Incomplete Information in Continuous Time and for Continuous Types
Pierre Cardaliaguet
Catherine Rainer
[J]. Dynamic Games and Applications, 2012, 2 : 206 - 227
[6] Games with Incomplete Information in Continuous Time and for Continuous Types
Cardaliaguet, Pierre
Rainer, Catherine
[J]. DYNAMIC GAMES AND APPLICATIONS, 2012, 2 (02) : 206 - 227
[7] Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility
Christensen, Peter O.
Larsen, Kasper
[J]. REVIEW OF ASSET PRICING STUDIES, 2014, 4 (02): : 247 - 285
[8] Continuous-Time Markov Games with Asymmetric Information
Gensbittel, Fabien
[J]. DYNAMIC GAMES AND APPLICATIONS, 2019, 9 (03) : 671 - 699
[9] Continuous-Time Markov Games with Asymmetric Information
Fabien Gensbittel
[J]. Dynamic Games and Applications, 2019, 9 : 671 - 699
[10] THE WAR OF ATTRITION IN CONTINUOUS-TIME WITH COMPLETE INFORMATION
HENDRICKS, K
WEISS, A
WILSON, C
[J]. INTERNATIONAL ECONOMIC REVIEW, 1988, 29 (04) : 663 - 680

← 1 2 3 4 5 →