Zero-sum repeated games: Counterexamples to the existence of the asymptotic value and the conjecture maxmin=limvn

Mertens [In Proceedings of the International Congress of Mathematicians (Berkeley, Calif., 1986) (1987) 1528.1577 Amer. Math. Soc.] proposed two general conjectures about repeated games: the first one is that, in any two-person zero-sum repeated game, the asymptotic value exists, and the second one is that, when Player 1 is more informed than Player 2, in the long run Player 1 is able to guarantee the asymptotic value. We disprove these two long-standing conjectures by providing an example of a zero-sum repeated game with public signals and perfect observation of the actions, where the value of the .-discounted game does not converge when . goes to 0. The aforementioned example involves seven states, two actions and two signals for each player. Remarkably, players observe the payoffs, and play in turn.