Operator approach to values of stochastic games with varying stage duration

We study the links between the values of stochastic games with varying stage duration $h$, the corresponding Shapley operators $\bf{T}$ and ${\bf{T}}\_h$and the solution of $\dot f\_t = ({\bf{T}} - Id )f\_t$. Considering general non expansive maps we establish two kinds of results, under both the discounted or the finite length framework, that apply to the class of "exact" stochastic games. First, for a fixed length or discount factor, the value converges as the stage duration go to 0. Second, the asymptotic behavior of the value as the length goes to infinity, or as the discount factor goes to 0, does not depend on the stage duration. In addition, these properties imply the existence of the value of the finite length or discounted continuous time game (associated to a continuous time jointly controlled Markov process), as the limit of the value of any time discretization with vanishing mesh.Comment: 22 pages, International Journal of Game Theory, Springer Verlag, 201

Asymptotic Properties of Optimal Trajectories in Dynamic Programming

We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible extensions to two-person games.Comment: 9 page

Stochastic Approximations and Differential Inclusions

L'approche en termes de systèmes dynamiques de l'approximation stochastique est étendue au cas ou l'équation différentielle moyenne est remplacée par une inclusion différentielle. Le théorème de Benaim et Hirsch sur l'ensemble limite est étendu a ce cas. On étudie en détail les ensembles ICT et les attracteurs. On donne des applications a des questions de théorie des jeux, en particulier concernant le théorème d'approchabilite de Blackwell et la convergence de "fictitious play".Approximation stochastique;Système dynamique multivalue

Time Average Replicator and Best Reply Dynamics

Using an explicit representation in terms of the logit map we show, in a unilateral framework, that the time average of the replicator dynamics is a perturbed solution of the best reply dynamics.replicator dynamics; best reply dynamics; logit map; perturbed differential inclusion; internally chain transitive set; attractor

On values of repeated games with signals

We study the existence of different notions of value in two-person zero-sum repeated games where the state evolves and players receive signals. We provide some examples showing that the limsup value (and the uniform value) may not exist in general. Then we show the existence of the value for any Borel payoff function if the players observe a public signal including the actions played. We also prove two other positive results without assumptions on the signaling structure: the existence of the $\sup$ value in any game and the existence of the uniform value in recursive games with nonnegative payoffs.Comment: Published at http://dx.doi.org/10.1214/14-AAP1095 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

e-Consistent Equilibrium

We deal with the concept of e-consistent equilibrium which corresponds to strategies inducing an e-equilbrium in any subgame reached along the play path. Examples and existence conditions are given.