Extensions of the Cav(u) theorem for repeated games with one-sided information

Abstract : This work is devoted to extend several asymptotic results concerning repeated games with incomplete information on one side. The model we consider is a generalization of the classical model of Aumann and Maschler to infi nite action spaces and partial information. We prove an extension of the classical "Cav(u)" Theorem in this model for both the lower and upper value functions using two di fferent methods: respectively a probabilistic method based on martingales and a functional one based on approximation schemes for viscosity solutions of Hamilton Jacobi equations. Our results also imply the existence of the uniform value whenever the value of the non-revealing game exists.
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Fabien Gensbittel. Extensions of the Cav(u) theorem for repeated games with one-sided information. Mathematics of Operations Research, INFORMS, 2015, 40 (1), ⟨10.1287/moor.2014.0658⟩. ⟨hal-00745575⟩

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