On a continuous time game with incomplete information

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dc.creatorCardaliaguet, Pierre
dc.creatorRainer, Catherine
dc.date2008-10-01
dc.date.accessioned2026-07-07T10:06:43Z
dc.date.available2026-07-07T10:06:43Z
dc.descriptionFor zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some martingale measures. One also characterizes the optimal martingale measures and compute it explicitely in several examples.
dc.identifierhttps://arxiv.org/abs/0810.0220
dc.identifierhttp://arxiv.org/abs/0810.0220
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/170422
dc.subjectProbability
dc.subject91A05, 49N70, 60G44, 60G42
dc.titleOn a continuous time game with incomplete information
dc.typetext

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