On a continuous time game with incomplete information
classification
🧮 math.PR
keywords
incompleteinformationmartingalemeasuresoptimalauxiliarycharacterizescompute
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For 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.
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