Les Cahiers de Recherche - HEC Paris
On the maxmin value of stochastic games with imperfect monitoring
(), Dinah ROSENBERG
() and Eilon SOLAN
Abstract: We study zero-sum stochastic games in which players do not
observe the actions of the opponent. Rather, they observe a stochastic
signal that may depend on the state, and on the pair of actions chosen by
the players. We assume each player observes the state and his own action.
We propose a candidate for the max-min value, which does not depend on
the information structure of player 2. We prove that player 2 can defend
the proposed max-min value, and that in absorbing games player 1 can
guarantee it. Analogous results hold for the min-max value. This paper
thereby unites several results due to Coulomb.
Keywords: Stochastic games; partial monitoring; value; (follow links to similar papers)
JEL-Codes: C73; (follow links to similar papers)
20 pages, December 24, 2001
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