{
  "id": "1307.3365",
  "version": "v1",
  "published": "2013-07-12T08:32:30.000Z",
  "updated": "2013-07-12T08:32:30.000Z",
  "title": "Markov games with frequent actions and incomplete information",
  "authors": [
    "Pierre Cardaliaguet",
    "Catherine Rainer",
    "Dinah Rosenberg",
    "Nicolas Vieille"
  ],
  "categories": [
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-07-12T08:32:30.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "incomplete information",
      "frequent actions",
      "markov games",
      "auxiliary optimization problem",
      "hamilton-jacobi equation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1307.3365C"
    }
  }
}