%0 Unpublished work %T Markov Games with Frequent Actions and Incomplete Information %+ CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) %+ Laboratoire de mathématiques de Brest (LM) %+ Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH) %A Cardaliaguet, Pierre %A Rainer, Catherine %A Rosenberg, Dinah %A Vieille, Nicolas %Z ECO/SCD-2013-1007 %8 2013-10-25 %D 2013 %R 10.2139/ssrn.2344780 %Z Humanities and Social Sciences/Business administrationPreprints, Working Papers, ... %X We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation. %G English %Z HEC Paris Research Paper Series %L hal-02058235 %U https://hec.hal.science/hal-02058235 %~ SHS %~ UNIV-BREST %~ HEC %~ CNRS %~ UNIV-DAUPHINE %~ MATHBREST %~ CEREMADE %~ LMBA %~ UBS %~ PSL %~ UNIV-DAUPHINE-PSL