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

Galit Ashkenazi-Golan, Catherine Rainer and Eilon Solan

Games and Economic Behavior, 2020, vol. 122, issue C, 83-104

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.

Keywords: Repeated games with incomplete information on one side; Markov games; Value; Optimal strategy; Algorithm (search for similar items in EconPapers)
JEL-codes: C63 C72 C73 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:122:y:2020:i:c:p:83-104

DOI: 10.1016/j.geb.2020.04.004

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