Francisco Ramírez-Reyes (Vol. 5 No. 1 2001)

Existence of optimal strategies for zero-sum stochastic games with discounted payoff.
Francisco Ramírez-Reyes

This work deals with zero-sum stochastic games with Borel state and action spaces, and unbounded payoff function. We consider finite-horizon as well as infinite-horizon discounted problems. Our main purpose is to give conditions for the existence of the game value and for the existence of optimal strategies for both players. The infinite-horizon case is analyzed using the approach of successive approximations.

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