Weighted-average stochastic games with constant payoff

Miquel Oliu-Barton ()
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Miquel Oliu-Barton: Université Paris-Dauphine

Operational Research, 2022, vol. 22, issue 3, No 2, 1675-1696

Abstract: Abstract In a zero-sum stochastic game, at each stage, two opponents make decisions which determine a stage reward and the law of the state of nature at the next stage, and the aim of the players is to maximize the weighted-average of the stage rewards. In this paper we solve the constant-payoff conjecture formulated by Sorin, Venel and Vigeral in 2010 for two classes of stochastic games with weighted-average rewards: (1) absorbing games, a well-known class of stochastic games where the state changes at most once during the game, and (2) smooth stochastic games, a newly introduced class of stochastic games where the state evolves smoothly under optimal play.

Keywords: Stochastic game; Value; Markov chain; Constant payoff (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s12351-021-00625-6

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