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Continuity of the Value of Competitive Markov Decision Processes

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  • Eilon Solan

    (Northwestern University
    Tel Aviv University)

Abstract

We provide a bound for the variation of the function that assigns to every competitive Markov decision process and every discount factor its discounted value. This bound implies that the undiscounted value of a competitive Markov decision process is continuous in the relative interior of the space of transition rules.

Suggested Citation

  • Eilon Solan, 2003. "Continuity of the Value of Competitive Markov Decision Processes," Journal of Theoretical Probability, Springer, vol. 16(4), pages 831-845, October.
    • Handle: RePEc:spr:jotpro:v:16:y:2003:i:4:d:10.1023_b:jotp.0000011995.28536.ef
    DOI: 10.1023/B:JOTP.0000011995.28536.ef
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    References listed on IDEAS

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    1. Truman Bewley & Elon Kohlberg, 1976. "The Asymptotic Theory of Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 1(3), pages 197-208, August.
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    3. David Levhari & Leonard J. Mirman, 1980. "The Great Fish War: An Example Using a Dynamic Cournot-Nash Solution," Bell Journal of Economics, The RAND Corporation, vol. 11(1), pages 322-334, Spring.
    4. Rabah Amir, 1987. "Sequential Games of Resource Extraction: Existence of Nash Equilibria," Cowles Foundation Discussion Papers 825, Cowles Foundation for Research in Economics, Yale University.
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