Average-discounted equilibria in stochastic games

J Flesch*, F Thuijsman, OJ Vrieze

*Corresponding author for this work

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Abstract

In stochastic games with finite state and action spaces, we examine existence of equilibria where player 1 uses the limiting average reward and player 2 a discounted reward for the evaluations of the respective payoff sequences. By the nature of these rewards, the far future determines player 1's reward, while player 2 is rather interested in the near future. This gives rise to a natural cooperation between the players along the course of the play. First we show the existence of stationary epsilon-equilibria, for all epsilon > 0, in these games. However, besides these stationary epsilon-equilibria, there also exist epsilon-equilibria, in terms of only slightly more complex ultimately stationary strategies, which are rather in the spirit of these games because, after a large stage when the discounted game is not interesting any longer, the players cooperate to guarantee the highest feasible reward to player I. Moreover, we analyze an interesting example demonstrating that 0-equilibria do not necessarily exist in these games, not even in terms of history dependent strategies. Finally, we examine special classes of stochastic games with specific conditions on the transition and payoff structures. Several examples are given to clarify all these issues.
Original languageEnglish
Pages (from-to)187-195
JournalEuropean Journal of Operational Research
Volume112
Issue number1
DOIs
Publication statusPublished - 1 Jan 1999

Keywords

  • game theory
  • stochastic games
  • equilibria
  • discounted reward
  • limiting average reward

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