Solving Two-State Markov Games with Incomplete Information

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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 zero,and an optimal strategy for the informed player in the limiting game in continuous time.
This limiting strategy induces an epsilon-optimal strategy for the informed player, provided the gap between stages is small enough.
 
Joint work with Catherine Rainer and Eilon Solan.
 
 
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