Existence of optimal strategies in Markov games with incomplete information (Q999122)

The existence of the value and optimal strategies is proved for the class of two-person repeated games where the state follows an exogeneous Markov chain, and at the beginning of each stage only Player 1 is informed about the state. This model was first introduced and the existence of the value was proved in [\textit{J. Renault}, Math. Oper. Res. 31, No. 3, 490-512 (2006; Zbl 1276.91023)]. Here the proof uses classical repeated games with incomplete information on one side, and the case of non observable actions is also considered.