Acyclic Gambling Games
From MaRDI portal
Publication:3387922
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 of the -discounted stochastic game and investigate its limit when 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 ) may fail.
Recommendations
Cites work
- scientific article; zbMATH DE number 3128726 (Why is no real title available?)
- scientific article; zbMATH DE number 4135719 (Why is no real title available?)
- scientific article; zbMATH DE number 2013849 (Why is no real title available?)
- scientific article; zbMATH DE number 1786125 (Why is no real title available?)
- scientific article; zbMATH DE number 893883 (Why is no real title available?)
- scientific article; zbMATH DE number 3216771 (Why is no real title available?)
- A Tauberian theorem for nonexpansive operators and applications to zero-sum stochastic games
- A first course on zero-sum repeated games
- A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
- A zero-sum stochastic game with compact action sets and no asymptotic value
- Absorbing Games with Compact Action Spaces
- An operator approach to zero-sum repeated games
- Computing uniform convex approximations for convex envelopes and convex hulls
- Definable zero-sum stochastic games
- Existence of the limit value of two person zero-sum discounted repeated games via comparison theorems
- Infinite dimensional analysis. A hitchhiker's guide.
- Limit value for optimal control with general means
- On representation formulas for long run averaging optimal control problem
- Repeated Games
- Repeated games with absorbing states
- Repeated games with incomplete information. With the collaboration of Richard E. Stearns
- Stochastic Games
- Stochastic Games on a Product State Space
- The Asymptotic Theory of Stochastic Games
- The Preservation of Continuity and Lipschitz Continuity by Optimal Reward Operators
- The splitting game and applications
- The splitting game: value and optimal strategies
- The value of Markov chain games with incomplete information on both sides
- The value of two-person zero-sum repeated games with lack of information on both sides
- Uniform value in dynamic programming
- Variational inequalities, system of functional equations, and incomplete information repeated games
- Zero-sum repeated games: counterexamples to the existence of the asymptotic value and the conjecture \({\max}{\min}=\lim v_{n}\)
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
This page was built for publication: Acyclic Gambling Games
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3387922)
