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dc.contributor.authorOliu-Barton, Miquel
dc.contributor.authorZiliotto, Bruno
dc.date.accessioned2020-05-11T09:14:01Z
dc.date.available2020-05-11T09:14:01Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20711
dc.language.isoenen
dc.subjectzero-sum stochastic gamesen
dc.subject.ddc515en
dc.titleConstant payoff in stochastic gamesen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by them and by a random variable representing the state of nature. The total payoff is the discounted sum of the stage payoffs. Assume that the players are very patient and use optimal strategies. We then prove that, at any point in the game, players get essentially the same expected payoff: the payoff is constant. This solves a conjecture by Sorin, Venel and Vigeral (2010). The proof relies on the semi-algebraic approach for discounted stochastic games introduced by Bewley and Kohlberg (1976), on the theory of Markov chains with rare transitions, initiated by Friedlin and Wentzell (1984), and on some variational inequalities for value functions inspired by the recent work of Davini, Fathi, Iturriaga and Zavidovique (2016)en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages31en
dc.subject.ddclabelAnalyseen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2020-05-11T09:11:10Z
hal.person.labIds60
hal.person.labIds60


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