On a Continuous-Time Game with Incomplete Information
成果类型：
Article
署名作者：
Cardaliaguet, Pierre; Rainer, Catherine
署名单位：
Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Bretagne Occidentale
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.1090.0414
发表日期：
2009
页码：
769-794
关键词：
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.
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