The Annals of Statistics
- Ann. Statist.
- Volume 2, Number 4 (1974), 724-738.
Repeated Games with Absorbing States
A zero-sum two person game is repeatedly played. Some of the payoffs are "absorbing" in the sense that, once any of them is reached, all future payoffs remain unchanged. Let $v_n$ denote the value of the $n$-times repeated game, and let $v_\infty$ denote the value of the infinitely-repeated game. It is shown that $\lim v_n$ always exists. When the information structure is symmetric, $v_\infty$ also exists and $v_\infty = \lim v_n$.
Ann. Statist., Volume 2, Number 4 (1974), 724-738.
First available in Project Euclid: 12 April 2007
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Kohlberg, Elon. Repeated Games with Absorbing States. Ann. Statist. 2 (1974), no. 4, 724--738. doi:10.1214/aos/1176342760. https://projecteuclid.org/euclid.aos/1176342760