Stochastic Games with a Single Controller and Incomplete Information

Nicolas Vieille (1) , Eilon Solan (2) , Dinah Rosenberg (3)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 TAU - Tel Aviv University
3 LAGA - Laboratoire Analyse, Géométrie et Applications

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 min-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.

Mots clés: stochastic games; incomplete information; single controller

Domaines: Economie et sciences de la décision

Nicolas Vieille, Eilon Solan, Dinah Rosenberg. Stochastic Games with a Single Controller and Incomplete Information. SIAM Journal on Control and Optimization, 2004, Vol.43,n°1, pp.86-110. ⟨10.1137/S0363012902407107⟩. ⟨hal-00464938⟩