The Maximal Variation of Martingales of Probabilities and Repeated Games with Incomplete Information

Abraham Neyman

The variation of a martingale $p_0^k=p_0,...,p_k$ of probabilities on a finite (or countable) set $X$ is denoted $V(p_0^k)$ and defined by $V(p_0^k)=E({\sum }_{t=1}^k|p_t-p_{t-1}{|}_1)$…