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A formula for the value of a stochastic game

Attia, Luc; Oliu Barton, Miquel (2019), A formula for the value of a stochastic game, PNAS - Proceedings of the National Academy of Sciences of the United States of America, 116, 52, p. 26435-26443. https://doi.org/10.1073/pnas.1908643116

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Article accepté pour publication ou publié
External document link
https://www.pnas.org/content/116/52/26435.short?rss=1
Date
2019
Journal name
PNAS - Proceedings of the National Academy of Sciences of the United States of America
Volume
116
Number
52
Publisher
National Academy of sciences
Pages
26435-26443
Publication identifier
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Author(s)
Attia, Luc
Oliu Barton, Miquel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
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.
Subjects / Keywords
stochastic games; repeated games; dynamic programming