HEC Research Papers Series,
HEC Paris

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.

Keywords: stochastic; zero sum; Markov chain; Hamilton-Jacobi equation; incomplete information

JEL-codes: C00

37 pages, October 24, 2013

Full text files

papers.cfm?abstract_id=2344780  

Download statistics

• HEC Paris
• Ordering Working Papers
• Home page for this series

Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 15:47:25.