Small perturbations and stochastic games

Nicolas Vieille (1, 2)

1 CECO - Laboratoire d'économétrie de l'École polytechnique
2 GREThA - Groupe de Recherche en Economie Théorique et Appliquée

The purpose of this note is to apply results from the theory of Markov chains with rare transitions to stochastic games. The results obtained here are used in the proof of existence of equilibrium payoffs in two-player stochastic games.

Keywords: stochastic games; small perturbations

Domains: Economy and decision science

Nicolas Vieille. Small perturbations and stochastic games. Israel Journal of Mathematics, 2000, Vol.119,n°1, pp.127-142. ⟨10.1007/BF02810665⟩. ⟨hal-00481409⟩