A formula for the value of a stochastic game

Luc Attia and Miquel Oliu-Barton ()
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Luc Attia: Centre de Mathématiques Appliquées, École Polytechnique, 91128 Palaiseau, France
Miquel Oliu-Barton: Centre de Recherches en Mathématiques de la Décision, Université Paris-Dauphine, Paris Sciences et Lettres, 75016 Paris, France

Proceedings of the National Academy of Sciences, 2019, vol. 116, issue 52, 26435-26443

Abstract: In 1953, Lloyd Shapley defined the model of stochastic games, which were the first general dynamic model of a game to be defined, and proved that competitive stochastic games have a discounted value. In 1982, Jean-François Mertens and Abraham Neyman proved that competitive stochastic games admit a robust solution concept, the value, which is equal to the limit of the discounted values as the discount rate goes to 0. Both contributions were published in PNAS. In the present paper, we provide a tractable formula for the value of competitive stochastic games.

Keywords: stochastic games; repeated games; dynamic programming (search for similar items in EconPapers)
Date: 2019
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