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

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Author Info
Bernard De Meyer () (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Panthéon-Sorbonne - Paris I)
Alexandre Marino () (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Panthéon-Sorbonne - Paris I)

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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.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00193996_v1.

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Date of creation: Mar 2005
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Handle: RePEc:hal:cesptp:halshs-00193996_v1

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Related research
Keywords: Repeated games; dual games; incomplete information; recurrence formula.;

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  1. Bernard De Meyer & Alexandre Marino, 2004. "Repeated market games with lack of information on both sides," Cahiers de la Maison des Sciences Economiques bla04066, Université Panthéon-Sorbonne (Paris 1).
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This page was last updated on 2009-12-19.

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