2016/11/25 by Hugo Gimbert, Gimbert, Hugo, Wiesław Zielonka +1
Decision Sciences · Economics, Econometrics and Finance · #Game Theory and Applications #Economic theories and models #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.1611.08487
We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such strategies follows from the existence of optimal deterministic stationarystrategies for some derived one-player games.Thus we reducethe problem from two-player to one-player games (Markov decisionproblems), where usually it is much easier to tackle.The reduction is very general, it holds not only for all possible payoff mappings but alsoin more a general situations whereplayers' preferences are not expressed by payoffs.