Mertens conjectures in absorbing games with incomplete information

TL;DR

This paper proves Mertens conjectures for absorbing games with incomplete information, demonstrating that the limit value exists and can be guaranteed under certain conditions, using a novel belief dynamics approximation technique.

Contribution

The paper introduces a new approximation method for belief dynamics that proves Mertens conjectures in absorbing games with incomplete information.

Findings

Limit value exists in the studied class of games.

Player 1 can guarantee the limit value when more informed.

The new technique may extend to other game frameworks.

Abstract

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?