When two asymmetrically informed risk-neutral agents repeatedly exchange a risky asset for numéraire, they are essentially playing an n-times repeated zero-sum game of incomplete information. In this setting, the price Lq at period q can be defined as the expected liquidation value of the risky...

The value vn ( P ) of the n times repeated zero sum game with incomplete information on one side is a concave function on the simplex p(K) that decreases to cav(u)( p ) as n grows. The rate of convergence 1/[ square root n ] that was given in Aumann's demonstration (See [A-M 68]) using a rough...

If a vector-valued function has convex range and one of its components is related to the others by a Pareto-like condition, that component must be affine w.r.t. the others; sign restrictions on the coefficients follow from suitably strengthening the unanimity condition. The theorem is applied to...

This paper is concerned with the stategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information. The model turns out to be a zero-sum repeated game with one-sided information, as...

In this paper, we prove that, under a "non concentrating" condition, the class Q( C, M, p) of continuous martingales is uniformly bounded in L a, for an a 1. C is here a closed cone of IR[exp. k] with pointed convex hull, p is a point of C, M is a closed cone of (K x I )-matrices and Q(C, M, p)...

We give an alternative proof of a theorem of Aumann and Maschler [1] that characterizes the limit of the values of finitely repeated games with lack of information on one side as the concavification of the value of the game where none of the players has any information.

Mertens and Zamir's (1977) paper is concerned with the asymptotic behaviour of the maximal L[exp.1]-variation [xi1.n(p)] of a [0,1]-valued martingale of length n starting at p. They prove the convergence of [ [xi1.n(p)] / [square root.n]]. to the normal density evaluated at its p-quantile. This...

This paper extends the analysis of the dual Brownian game [Gamma]*(x,T) initiated in [2]. The existence of a value [psi]*(x,T) for [Gamma](x,T) as well as the existence of optimal strategies was proved there. In this paper we will prove successively that player 2’s optimal strategy is unique,...