Solving two-state Markov games with incomplete information on one side

Galit Ashkenazi-Golan, Catherine Rainer, Eilon Solan

Research output: Contribution to journalArticlepeer-review

Abstract

We study the optimal use of information in Markov games with incomplete information on one side and two states. We provide a finite-stage algorithm for calculating the limit value as the gap between stages goes to 0, and an optimal strategy for the informed player in the limiting game in continuous time. This limiting strategy induces an ϵ-optimal strategy for the informed player, provided the gap between stages is small. Our results demonstrate when the informed player should use her information and how.

Original languageEnglish
Pages (from-to)83-104
Number of pages22
JournalGames and Economic Behavior
Volume122
DOIs
StatePublished - Jul 2020

Keywords

  • Algorithm
  • Markov games
  • Optimal strategy
  • Repeated games with incomplete information on one side
  • Value

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