Game-theoretical dynamic insider trading model with non-zero bid-ask spread

We consider the model of multistage insider trading between two market agents for one-type risky assets. One of the players (the insider) has private information about the liquidation value of the asset. At each step of the bidding each player simultaneously proposes bid and ask prices for one share with fixed non-zero spread. The uninformed player uses history of insider’s moves to update his beliefs. For the unlimited duration bidding we construct upper and lower bounds of the guaranteed insider’s gain and the strategies of both players insuring these bounds. We also calculate insider’s loses in the case of disclosure of his private information.