General limit value in zero-sum stochastic games

DOI10.1007/S00182-015-0509-3MaRDI QIDQ267100zbMATH OpenOpenAlexFDO

Authors Bruno Ziliotto

Publication date 8 April 2016

Published in International Journal of Game Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.5231

zbMATH Keywords

asymptotic valueShapley operatorstochastic gamesuniform valueweighted payoffs

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

Abstract: Bewley and Kohlberg (1976) and Mertens and Neyman (1981) have proved, respectively, the existence of the asymptotic value and the uniform value in zero-sum stochastic games with finite state space and finite action sets. In their work, the total payoff in a stochastic game is defined either as a Cesaro mean or an Abel mean of the stage payoffs. This paper presents two findings: first, we generalize the result of Bewley and Kohlberg to a more general class of payoff evaluations and we prove with a counterexample that this result is tight. We also investigate the particular case of absorbing games. Second, for the uniform approach of Mertens and Neyman, we provide another counterexample to demonstrate that there is no natural way to generalize the result of Mertens and Neyman to a wider class of payoff evaluations.

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(15)

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