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.