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Handbook of Game Theory by Shmuel Zamir, Petyon Young

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2.3.4.2 General RG and viscosity tools

We follow Cardaliaguet et al. (2012).

(A) RG with incomplete information. Consider an arbitrarily evaluation probability μ on *si352_e inducing a partition Π. Let VΠ(tk,p,q)si353_e be the value of the game starting at time tksi354_e. One has VΠ(1,p,q):=0si355_e and:

VΠ(tn,p,q)=val[μn+1g(x,y,p,q)+i,jx(i)y(j)VΠ(tn+1,p(i),q(i))].

  

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