COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1737

On a Markov Game with One-Sided Incomplete Information

Johannes Hörner, Dinah Rosenberg, Eilon Solan and Nicolas Vieille

November 2009

We apply the average cost optimality equation to zero-sum Markov games, by considering a simple game with one-sided incomplete information that generalizes an example of Aumann and Maschler (1995). We determine the value and identify the optimal strategies for a range of parameters.

Keywords: Repeated game with incomplete information, Zero-sum games, Partially observable Markov decision processes

JEL Classification: C72, C73