Acyclic Gambling Games

DOI10.1287/MOOR.2019.1030zbMATH Open1455.91036arXiv1702.06866OpenAlexW2589310628MaRDI QIDQ3387922FDOQ3387922

Authors: Jérôme Renault, Rida Laraki 

Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Abstract: We consider 2-player zero-sum stochastic games where each player controls his own state variable living in a compact metric space. The terminology comes from gambling problems where the state of a player represents its wealth in a casino. Under natural assumptions (such as continuous running payoff and non expansive transitions), we consider for each discount factor the value v $lambda$ of the $lambda$-discounted stochastic game and investigate its limit when $lambda$ goes to 0. We show that under a strong acyclicity condition, the limit exists and is characterized as the unique solution of a system of functional equations: the limit is the unique continuous excessive and depressive function such that each player, if his opponent does not move, can reach the zone when the current payoff is at least as good than the limit value, without degrading the limit value. The approach generalizes and provides a new viewpoint on the Mertens-Zamir system coming from the study of zero-sum repeated games with lack of information on both sides. A counterexample shows that under a slightly weaker notion of acyclicity, convergence of (v $lambda$) may fail.

Full work available at URL: https://arxiv.org/abs/1702.06866

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zbMATH Keywords

Markov decision processzero-sum stochastic gamesgambling theoryMertens-Zamir systemasymptotic and uniform valuesplitting games

Mathematics Subject Classification ID

2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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Cited In (8)

• Mertens conjectures in absorbing games with incomplete information
• Generic uniqueness of the bias vector of finite zero-sum stochastic games with perfect information
• Long information design
• Splitting games over finite sets
• Deposit games with reinvestment
• Asymptotically optimal strategies in repeated games with incomplete information and vanishing weights
• Communicating zero-sum product stochastic games
• Interactive information design

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