Articles

Stochastic games with a single controller and incomplete information

D. ROSENBERG, E. Solan, N. VIEILLE

SIAM Journal on Control and Optimization

2004, vol. 43, n°1, pp.86-110

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


We study stochastic games with incomplete information on one side, in which the transition is controlled by one of the players. We prove that if the informed player also controls the transitions, the game has a value, whereas if the uninformed player controls the transitions, the max-min value as well as the mm-max value exist, but they may differ. We discuss the structure of the optimal strategies, and provide extensions to the case of incomplete information on both sides.


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