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Limit Equilibrium Payoffs in Stochastic Games

Author

Listed:
  • Jérôme Renault

    (Toulouse School of Economics, Université Toulouse 1 Capitole, 31000 Toulouse, France;)

  • Bruno Ziliotto

    (Centre De Recherche en Mathématiques de la Décision, Centre National de la Recherche Scientifique, PSL Research Institute, Université Paris-Dauphine, 75016 Paris, France)

Abstract

We study the limit of equilibrium payoffs, as the discount factor goes to one, in non-zero-sum stochastic games. We first show that the set of stationary equilibrium payoffs always converges. We then provide two-player examples in which the whole set of equilibrium payoffs diverges. The construction is robust to perturbations of the payoffs and to the introduction of normal-form correlation.

Suggested Citation

  • Jérôme Renault & Bruno Ziliotto, 2020. "Limit Equilibrium Payoffs in Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 889-895, August.
    • Handle: RePEc:inm:ormoor:v:45:y:2020:i:3:p:889-895
    DOI: 10.1287/moor.2019.1015
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    References listed on IDEAS

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    Cited by:

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