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Repeated Games with Incomplete Information over Predictable Systems

Author

Listed:
  • Ehud Lehrer

    (School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, Israel)

  • Dimitry Shaiderman

    (School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, Israel)

Abstract

Consider a stationary process taking values in a finite state space. Each state is associated with a finite one-shot zero-sum game. We investigate the infinitely repeated zero-sum game with incomplete information on one side in which the state of the game evolves according to the stationary process. Two players, named the observer and the adversary, play the following game. At the beginning of any stage, only the observer is informed of the state ξ n and is therefore the only one who knows the identity of the forthcoming one-shot game. Then, both players take actions, which become publicly known. The paper shows the existence of a uniform value in a new class of stationary processes: ergodic Kronecker systems. Techniques from ergodic theory, probability theory, and game theory are employed to describe the optimal strategies of the two players.

Suggested Citation

  • Ehud Lehrer & Dimitry Shaiderman, 2023. "Repeated Games with Incomplete Information over Predictable Systems," Mathematics of Operations Research, INFORMS, vol. 48(2), pages 834-864, May.
    • Handle: RePEc:inm:ormoor:v:48:y:2023:i:2:p:834-864
    DOI: 10.1287/moor.2022.1286
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