# Solving Two-State Markov Games with Incomplete Information on One Side *

## TL;DR

This paper develops a finite-stage algorithm and continuous-time strategies for the informed player in two-state Markov games with incomplete information, optimizing information use and strategy selection.

## Contribution

It introduces a novel finite-stage algorithm for the limit value and characterizes optimal strategies for the informed player in continuous time.

## Key findings

- Finite-stage algorithm for limit value calculation
- Optimal strategies for the informed player in continuous time
- Guidelines for when and how the informed player should use information

## Abstract

We study the optimal use of information in Markov games with incomplete information on one side and two states. We provide a finite-stage algorithm for calculating the limit value as the gap between stages goes to 0, and an optimal strategy for the informed player in the limiting game in continuous time. This limiting strategy induces an-optimal strategy for the informed player, provided the gap between stages is small. Our results demonstrate when the informed player should use his information and how.