Stochastic games with short-stage duration

Abraham Neyman ()

Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem

Abstract: We introduce asymptotic analysis of stochastic games with short-stage duration. The play of stage $k$, $k\geq 0$, of a stochastic game $\Gamma_\delta$ with stage duration $\delta$ is interpreted as the play in time $k\delta\leq t 0}$ as the stage duration $\delta$ goes to $0$, and study the asymptotic behavior of the value, optimal strategies, and equilibrium. The asymptotic analogs of the discounted, limiting-average, and uniform equilibrium payoffs are defined. Convergence implies the existence of an asymptotic discounted equilibrium payoff, strong convergence implies the existence of an asymptotic limiting-average equilibrium payoff, and exact convergence implies the existence of an asymptotic uniform equilibrium payoff.

Pages: 60 pages
Date: 2013-04
New Economics Papers: this item is included in nep-gth and nep-hpe
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Citations: View citations in EconPapers (6)

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Journal Article: Stochastic Games with Short-Stage Duration (2013)
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