On a Markov Game with Incomplete Information

We consider an example of a Markov game with lack of information on one side, that was first introduced by Renault (2002). We compute both the value and optimal strategies for a range of parameter values. ∗MEDS Department, Kellogg School of Management, Northwestern University, and Département Finance et Economie, HEC, 1, rue de la Libération, 78 351 Jouy-en-Josas, France. e-mail: [email protected] †Laboratoire d’Analyse Géométrie et Applications, Institut Galilée, Université Paris Nord, avenue Jean-Baptiste Clément, 93430 Villetaneuse, France; and laboratoire d’Econométrie de l’Ecole Polytechnique, 1, rue Descartes 75005 Paris, France . e-mail: [email protected] ‡MEDS Department, Kellogg School of Management, Northwestern University, and the School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, Israel. e-mail: [email protected] §Département Finance et Economie, HEC, 1, rue de la Libération, 78 351 Jouy-enJosas, France. e-mail: [email protected] ¶The research of the third author was supported by the Israel Science Foundation (grant No. 69/01-1).