This work deals with a class of discrete-time zero-sum Markov games under a discounted optimality criterion with random state-actions-dependent discount factors of the form α~ (x n , a n , b n , ξ n + 1 ) , where x n , a n , b n , and ξ n + 1 are the state, the actions of players, and a random disturbance at time n, respectively, taking values in Borel spaces. Assuming possibly unbounded payoff, we prove the existence of a value of the game as well as a stationary pair of optimal strategies.
|Number of pages||19|
|Journal||Dynamic Games and Applications|
|State||Published - 15 Mar 2019|
Bibliographical noteFunding Information:
Work supported by Consejo Nacional de Ciencia y Tecnología (CONACYT) under Grant CB2015/254306.
© 2018, Springer Science+Business Media, LLC, part of Springer Nature.
- Discounted optimality
- Markov games
- Nonconstant discount factor