The Maxmin Value of Repeated Games with Incomplete Information on One Side and Tail-Measurable Payoffs

Abstract

We study two-player zero-sum repeated games with incomplete information on one side, where the payoff function is tail measurable (and not necessarily the long-run average payoff). We show that the maxmin value equals the concavification of the value function of the non-revealing game. In addition, we provide an example demonstrating that, under tail-measurable payoffs, the value of the game may fail to exist.