A formula for the value of a stochastic game

DOI10.1073/PNAS.1908643116MaRDI QIDQ5854792zbMATH OpenOpenAlexWikidataFDO

Authors Luc Attia, Miquel Oliu-Barton

Publication date 12 March 2021

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.06102

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

Abstract: In 1953, Lloyd Shapley defined the model of stochastic games, which were the first general dynamic model of a game to be defined, and proved that competitive stochastic games have a discounted value. In 1982, Jean-Franc{c}ois Mertens and Abraham Neyman proved that competitive stochastic games admit a robust solution concept, the value, which is equal to the limit of the discounted values as the discount rate goes to 0. Both contributions were published in PNAS. In the present paper, we provide a tractable formula for the value of competitive stochastic games.

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Cited in

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