Galit Ashkenazi-Golan, Catherine Rainer, Eilon Solan
Published 2019-03-18Version 1
We study the optimal use of information in Markov games with incomplete information on one side and two states. We provide a finite-stage algorithm for calculating the limit value as the gap between stages goes to 0, and an optimal strategy for the informed player in the limiting game in continuous time. This limiting strategy induces an-optimal strategy for the informed player, provided the gap between stages is small. Our results demonstrate when the informed player should use his information and how.
Continuous-time limit of dynamic games with incomplete information and a more informed player
On Dynkin games with incomplete information
Markov games with frequent actions and incomplete information
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