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Characterization and simplification of optimal strategies in positive stochastic games

Part of: Game theory Markov processes Stochastic processes

Published online by Cambridge University Press:  16 November 2018

János Flesch ,
Arkadi Predtetchinski  and
William Sudderth
János Flesch*
Affiliation:
Maastricht University
Arkadi Predtetchinski*
Affiliation:
Maastricht University
William Sudderth*
Affiliation:
University of Minnesota
*
* Postal address: Department of Quantitative Economics, Maastricht University, PO Box 616, 6200 MD, The Netherlands. Email address: [email protected]
** Postal address: Department of Economics, Maastricht University, PO Box 616, 6200 MD, The Netherlands. Email address: [email protected]
*** Postal address: School of Statistics, University of Minnesota, Minneapolis, MN 55455, USA. Email address: [email protected]
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Abstract

We consider positive zero-sum stochastic games with countable state and action spaces. For each player, we provide a characterization of those strategies that are optimal in every subgame. These characterizations are used to prove two simplification results. We show that if player 2 has an optimal strategy then he/she also has a stationary optimal strategy, and prove the same for player 1 under the assumption that the state space and player 2's action space are finite.

Keywords

Positivetwo-personzero-sum stochastic gameoptimal stationary strategysubgame-optimal strategyMarkov chainmartingale

MSC classification

Primary: 91A15: Stochastic games 91A05: 2-person games 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 60G42: Martingales with discrete parameter
Type
Research Papers
Information
Journal of Applied Probability , Volume 55 , Issue 3 , September 2018 , pp. 728 - 741
Copyright
Copyright © Applied Probability Trust 2018 

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