Glicksberg's theorem

Not to be confused with Glicksberg theorem.

In the study of zero sum games, Glicksberg's theorem (also Glicksberg's existence theorem) is a result that shows certain games have a minimax value .

If A and B are compact sets, and K is an upper semicontinuous or lower semicontinuous function on $A\times B$, then

$\sup _{f}\inf _{g}\iint K\,df\,dg=\inf _{g}\sup _{f}\iint K\,df\,dg$

where f and g run over Borel probability measures on A and B.

The theorem is useful if f and g are interpreted as mixed strategies of two players in the context of a continuous game. If the payoff function K is upper semicontinuous, then the game has a value.

The continuity condition may not be dropped: see example of a game with no value.