How to play with a biased coin? (Q1864823)

Let \(G\) be a \(0\)-sum game. Denote by \(U(h)\) the maximum payoff what player 1 can guarantee in \(G\) when he is restricted to actions of entropy of at most \(h\) (``biased coins''). Let \(\text{cav }U\) be the smallest concave function that majorizes \(U\). If the sequence of private observations is i.i.d., then the max min of the corresponding infinitely repeated game is \(\text{cav }U(h)\).