2021/09/22 by Ian Hogeboom-Burr, Serdar Yüksel, Hogeboom-Burr, Ian +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Decision-Making and Behavioral Economics #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2109.11035
openalex publication_date 2021/09/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study continuity properties of stochastic game problems with respect to various topologies on information structures, defined as probability measures characterizing a game. We will establish continuity properties of the value function under total variation, setwise, and weak convergence of information structures. Our analysis reveals that the value function for a bounded game is continuous under total variation convergence of information structures in both zero-sum games and team problems. Continuity may fail to hold under setwise or weak convergence of information structures, however, the value function exhibits upper semicontinuity properties under weak and setwise convergence of information structures for team problems, and upper or lower semicontinuity properties hold for zero-sum games when such convergence is through a Blackwell-garbled sequence of information structures. If the individual channels are independent, fixed, and satisfy a total variation continuity condition, then the value functions are continuous under weak convergence of priors. We finally show that value functions for players may not be continuous even under total variation convergence of information structures in general non-zero-sum games.