Operator approach to values of stochastic games with varying stage duration

DOI10.1007/S00182-015-0512-8zbMATH Open1388.91046arXiv1502.04000OpenAlexW3098709230MaRDI QIDQ267102FDOQ267102

Authors: Sylvain Sorin, Guillaume Vigeral 

Publication date: 8 April 2016

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

Abstract: We study the links between the values of stochastic games with varying stage duration $h$, the corresponding Shapley operators $$ and $$and the solution of $$. Considering general non expansive maps we establish two kinds of results, under both the discounted or the finite length framework, that apply to the class of "exact" stochastic games. First, for a fixed length or discount factor, the value converges as the stage duration go to 0. Second, the asymptotic behavior of the value as the length goes to infinity, or as the discount factor goes to 0, does not depend on the stage duration. In addition, these properties imply the existence of the value of the finite length or discounted continuous time game (associated to a continuous time jointly controlled Markov process), as the limit of the value of any time discretization with vanishing mesh.

Full work available at URL: https://arxiv.org/abs/1502.04000

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zbMATH Keywords

evolution equationnon expansive mapShapley operatorstage durationstochastic games

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

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Cited In (6)

• Stochastic games with short-stage duration
• On preemption in discrete and continuous time
• Limit value of dynamic zero-sum games with vanishing stage duration
• An accretive operator approach to ergodic zero-sum stochastic games
• Evolution equations in discrete and continuous time for nonexpansive operators in Banach spaces
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