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Acyclic Gambling Game

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156940660469555.pdf (450.4Kb)
Date
2017
Dewey
Probabilités et mathématiques appliquées
Sujet
Markov Decision Processes; Zero-Sum Stochastic Games; Asymptotic Value; Gambling Houses; Mertens-Zamir System; Splitting Games; Persuasion
Journal issue
Mathematics of Operations Research
Volume
45
Number
4
Publication date
11-2020
Article pages
1193-1620
Publisher
INFORMS
DOI
http://dx.doi.org/10.2139/ssrn.3187425
URI
https://basepub.dauphine.fr/handle/123456789/21209
Collections
  • LAMSADE : Publications
Metadata
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Author
Laraki, Rida
989 Laboratoire d'analyse et modélisation de systèmes pour l'aide à la décision [LAMSADE]
Renault, Jérôme
Type
Article accepté pour publication ou publié
Abstract (EN)
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 vλ of the λ-discounted stochastic game and investigate its limit when λ goes to 0 (players are more and more patient). We show that under a new 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 (vλ) may fail.

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