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Minimax solution but game has no value

Fix convex sets $\Delta,\Pi$ and let $r: \Pi \times \Delta \in [0,\infty]$ be linear (i.e., concave and convex) in its first parameter for every fixed second parameter. I'm looking for a situation wh …
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Minimax solution but game has no value

Actually, it's not hard to construct such a solution. Ferguson (Mathematical Statistics, 1967, pg. 83) gives an example where $\Delta, \Pi$ are the space of probability measures on $\mathbb{N}$ and …
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