Duality and optimal strategies in the finitely repeated zero-sum games with incomplete information on both sides

Bernard de Meyer () and Alexandre Marino ()
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Bernard de Meyer: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Alexandre Marino: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: The recursive formula for the value of the zero-sum repeated games with incomplete information on both sides is known for a long time. As it is explained in the paper, the usual proof of this formula is in a sense non constructive: it just claims that the players are unable to guarantee a better payoff than the one prescribed by formula, but it does not indicates how the players can guarantee this amount. In this paper we aim to give a constructive approach to this formula using duality techniques. This will allow us to recursively describe the optimal strategies in those games and to apply these results to games with infinite action spaces.

Keywords: recurrence formula; incomplete information; dual games; repeated games; jeu dual; jeux répétés; information incomplète; formule de récurrence (search for similar items in EconPapers)
Date: 2005-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00193996v1
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Citations: View citations in EconPapers (2)

Published in 2005

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