We prove that games with absorbing states with compact action sets have a value.

Abstract In this paper we give sufficient conditions for solving two-person zero sum stopping games. These are games where the strategy set of the two players are stopping times of a diffusion X . Our method is based on the study of harmonic functions for the diffusion and it is similar to the...

We deal with multi-agent Markov decision processes (MDPs) in which cooperation among players is allowed. We find a cooperative payoff distribution procedure (MDP-CPDP) that distributes in the course of the game the payoff that players would earn in the long run game. We show under which...

The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of a short-run equilibrium. Investors use general, adaptive strategies (portfolio rules) depending on the exogenous states of the world and the observed history of the game....

We provide sufficient conditions for existence and uniqueness of a monotone, Lipschitz continuous Markov stationary Nash equilibrium (MSNE) and characterize its associated Stationary Markov equilibrium in a class of intergenerational paternalistic altruism models with stochastic production. Our...

We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order “coefficient” and the “free” term are only assumed to be...

We give an example of a zero-sum stochastic game with four states, compact action sets for each player, and continuous payoff and transition functions, such that the discounted value does not converge as the discount factor tends to 0, and the value of the n-stage game does not converge as n...

Consider a two-person, zero-sum stochastic game with Borel state space S, finite action sets A,B, and Borel measurable law of motion q. Suppose the payoff is a bounded function f of the infinite history of states and actions that is measurable for the product of the Borel σ-field for S and...