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A formula for the value of a stochastic game

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1809.06102.pdf (264.5Kb)
Date
2019
Link to item file
https://www.pnas.org/content/116/52/26435.short?rss=1
Dewey
Probabilités et mathématiques appliquées
Sujet
stochastic games; repeated games; dynamic programming
Journal issue
Proceedings of the National Academy of Sciences of the United States of America
Volume
116
Number
52
Publication date
2019
Article pages
26435-26443
Publisher
National Academy of sciences
DOI
http://dx.doi.org/https://doi.org/10.1073/pnas.1908643116
URI
https://basepub.dauphine.fr/handle/123456789/20375
Collections
  • CEREMADE : Publications
Metadata
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Author
Attia, Luc
Oliu Barton, Miquel
Type
Article accepté pour publication ou publié
Abstract (EN)
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-François 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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