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Completely Mixed Stochastic Games with Small Unfixed Discount Factor

Abstract : Motivated by uncertainty in the value of the interest rate, we study discounted zero-sum stochastic games with unfixed discount factor. Our general goal is to obtain a power series expansion of the value of the game with respect to the discount factor around its nominal value. We consider a specific but important class of stochastic games – completely mixed stochastic games. As an illustrative example we take tax evasion model.
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Contributor : Konstantin Avrachenkov Connect in order to contact the contributor
Submitted on : Wednesday, January 20, 2016 - 5:43:23 PM
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Konstantin Avrachenkov, Anastasiia Varava. Completely Mixed Stochastic Games with Small Unfixed Discount Factor. Alexey Piunovskiy. Modern trends in controlled stochastic processes: Theory and applications, 2, Luniver Press, pp.152-163, 2015, 1905986459. ⟨hal-01259669⟩



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