Acquisition Games with Partial-Asymmetric Information

TL;DR

This paper studies stochastic acquisition games with asymmetric, partial information, proposing a new structured belief update approach and identifying equilibrium policies for agents controlling Poisson search rates.

Contribution

Introduces a novel method for managing belief updates in partial-asymmetric information stochastic games and characterizes equilibrium policies for two-agent lock acquisition.

Findings

Equilibrium policies are characterized by state-dependent time thresholds.

A pair of threshold policies form a Nash equilibrium in the two-agent case.

Conjectures extended results for N-agent scenarios.

Abstract

We consider an example of stochastic games with partial, asymmetric and non-classical information. We obtain relevant equilibrium policies using a new approach which allows managing the belief updates in a structured manner. Agents have access only to partial information updates, and our approach is to consider optimal open loop control until the information update. The agents continuously control the rates of their Poisson search clocks to acquire the locks, the agent to get all the locks before others would get reward one. However, the agents have no information about the acquisition status of others and will incur a cost proportional to their rate process. We solved the problem for the case with two agents and two locks and conjectured the results for $N$-agents. We showed that a pair of (partial) state-dependent time-threshold policies form a Nash equilibrium.