We consider an example of a Markov game with lack of information on one side, that was first introduced by Renault (2002). We compute both the value and optimal strategies for a range of parameter values.

We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his...