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

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