Stochastic Games, an Overview

Stochastic games can be viewed as an integration of two other classes of mathematical decision problems, namely Noncooperative Games and Markovian Decision Problems. With Noncooperative Games Stochastic Games have the same aspect in common, which concerns the decision situation in which two or more decision makers (players) have to take a decision and where these decision mutually influence each others outcome. With Markovian decision problems Stochastic Games have in common the aspect that the decision process proceeds dynamically along a stochastic process based on Markov chains. In stochastic games usually the infinite horizon case is considered, in which the set of discrete decision moments coincides with the set of natural numbers.