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- Title
THE ASYMPTOTIC SOLUTION OF A RECURSION EQUATION OCCURRING IN STOCHASTIC GAMES.
- Authors
Bewley, Truman; Kohlberg, Elon
- Abstract
we show that there exists a Laurent series in a fractional power of n which approximates V[subn] up to log n. where V[subn], is the value of an n-stage two person zero sum stochastic game. We prove this result by showing that the Laurent series is an approximate solution of the dynamical programming equation for V[subn], V[subn+1] = &fnot;(V[subn]). It seems that our methods could be used to find approximate solutions to other difference equations. Our proof makes repeated use of Tarski's principle for real closed fields.
- Subjects
LAURENT series; STOCHASTIC processes; MATHEMATICAL programming
- Publication
Mathematics of Operations Research, 1976, Vol 1, Issue 4, p321
- ISSN
0364-765X
- Publication type
Article
- DOI
10.1287/moor.1.4.321