Zero-Sum Markov Games with Random State-Actions-Dependent Discount Factors: Existence of Optimal Strategies

David González-Sánchez; Fernando Luque-Vásquez; J. Adolfo Minjárez-Sosa

doi:10.1007/s13235-018-0248-8

Zero-Sum Markov Games with Random State-Actions-Dependent Discount Factors: Existence of Optimal Strategies

David González-Sánchez, Fernando Luque-Vásquez, J. Adolfo Minjárez-Sosa^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	103-121
Number of pages	19
Journal	Dynamic Games and Applications
Volume	9
Issue number	1
DOIs	https://doi.org/10.1007/s13235-018-0248-8
State	Published - 15 Mar 2019

Bibliographical note

Publisher Copyright:
© 2018, Springer Science+Business Media, LLC, part of Springer Nature.

Keywords

Discounted optimality
Markov games
Nonconstant discount factor

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10.1007/s13235-018-0248-8

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Zero-Sum Markov Games with Random State-Actions-Dependent Discount Factors: Existence of Optimal Strategies

Abstract

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Keywords

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