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

Galit Ashkenazi-Golan; Catherine Rainer; Eilon Solan

doi:10.1016/j.geb.2020.04.004

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

Galit Ashkenazi-Golan, Catherine Rainer, Eilon Solan

Tel Aviv University

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	83-104
Number of pages	22
Journal	Games and Economic Behavior
Volume	122
DOIs	https://doi.org/10.1016/j.geb.2020.04.004
State	Published - Jul 2020

Keywords

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

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.geb.2020.04.004

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title = "Solving two-state Markov games with incomplete information on one side",

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.",

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AU - Solan, Eilon

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N2 - 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.

AB - 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.

KW - Algorithm

KW - Markov games

KW - Optimal strategy

KW - Repeated games with incomplete information on one side

KW - Value

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M3 - مقالة

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EP - 104

JO - Games and Economic Behavior

JF - Games and Economic Behavior

ER -

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

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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