Mertens conjectures in absorbing games with incomplete information

In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by both players. Actions and states are imperfectly observed by p...

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Bibliographic Details
Published in:arXiv.org 2021-12
Main Author: Ziliotto, Bruno
Format: Article
Language:English
Subjects:
Decisions
Games
Markov chains
Players
Zero sum games
Online Access:Get full text
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Summary:In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by both players. Actions and states are imperfectly observed by players, who receive a private signal at each stage. Mertens (ICM 1986) conjectured two properties regarding games with long duration: first, that limit value always exists, second, that when Player 1 is more informed than Player 2, she can guarantee uniformly the limit value. These conjectures were disproved recently by the author, but remain widely open in many subclasses. A well-known particular subclass is the one of absorbing games with incomplete information on both sides, in which the state can move at most once during the game, and players get a private signal about it at the outset of the game. This paper proves Mertens conjectures in this particular model, by introducing a new approximation technique of belief dynamics, that is likely to generalize to many other frameworks. In particular, this makes a significant step towards the understanding of the following broad question: in which games do Mertens conjectures hold?
ISSN:2331-8422