Continuous-time limit of dynamic games with incomplete information and a more informed player

@article{Gensbittel2016ContinuoustimeLO,
  title={Continuous-time limit of dynamic games with incomplete information and a more informed player},
  author={Fabien Gensbittel},
  journal={International Journal of Game Theory},
  year={2016},
  volume={45},
  pages={321-352}
}
  • Fabien Gensbittel
  • Published 1 January 2015
  • Economics, Mathematics
  • International Journal of Game Theory
We study a two-player, zero-sum, dynamic game with incomplete information where one of the players is more informed than his opponent. We analyze the limit value as the players play more and more frequently. The more informed player observes the realization of a Markov process (X, Y) on which the payoffs depend, while the less informed player only observes Y and his opponent’s actions. We show the existence of a limit value as the time span between two consecutive stages goes to zero. This… 
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