Zero-sum repeated games: counterexamples to the existence of the asymptotic value and the conjecture \({\max}{\min}=\lim v_{n}\) (Q282504)

The paper disproves two Mertens' conjectures that sound as follows: 1) there exists the asymptotic value in a two-person zero-sum repeated game, and 2) Player 1 who is more informed than Player 2 is able to guarantee the asymptotic value in the long run. The author constructs an example of a zero-sum repeated game with public signals and perfect observation of actions, where the value of the discussed game does not converge when the discount factor converges to one.