Koessler, Frédéric, Laclau, Marie, Renault, Jérôme and Tomala, Tristan (2022) Splitting games over finite sets. TSE Working Paper, n. 22-1321, Toulouse.

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This paper studies zero-sum splitting games with finite sets of states. Players dynamically choose a pair of martingales {pt,qt}t, in order to control a terminal payoff u(p∞,q∞). A firstpartintroduces the notion of “Mertens-Zamir transform” of a real-valued matrix and use it to approximate the solution of the Mertens-Zamir system for continuous functions on the square [0, 1]2. A second part considers the general case of finite splitting games with arbitrary correspondences containing the Dirac mass on the current state: building on Laraki and Renault (2020), we show that the value exists by constructing non Markovian ε-optimal strategies and we characterize it as the unique concave-convex function satisfying two new conditions.

Item Type: Monograph (Working Paper)
Language: English
Date: March 2022
Place of Publication: Toulouse.
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole.
Site: UT1
Date Deposited: 21 Mar 2022 10:46
Last Modified: 01 Jul 2022 08:21
OAI Identifier: oai:tse-fr.eu:126754
URI: https://publications.ut-capitole.fr/id/eprint/44977
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