Discrete stop-or-go games

Janos Flesch*, Arkadi Predtetchinski, William Sudderth

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

Dubins and Savage (How to gamble if you must: inequalities for stochastic processes, McGraw-Hill, New York, 1965) found an optimal strategy for limsup gambling problems in which a player has at most two choices at every state x at most one of which could differ from the point mass δ(x). Their result is extended here to a family of two-person, zero-sum stochastic games in which each player is similarly restricted. For these games we show that player 1 always has a pure optimal stationary strategy and that player 2 has a pure ϵ-optimal stationary strategy for every ϵ>0. However, player 2 has no optimal strategy in general. A generalization to n-person games is formulated and ϵ-equilibria are constructed.
Original languageEnglish
Number of pages21
JournalInternational Journal of Game Theory
DOIs
Publication statusE-pub ahead of print - 24 Mar 2021

Keywords

  • Stochastic game
  • Optimal strategy
  • Equilibrium
  • Limsup payoff
  • Liminf payoff

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