A Course in Stochastic Game Theory

Eilon Solan

may 2022 · London Mathematical Society Student Texts Libro 103 · Cambridge University Press

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Stochastic games have an element of chance: the state of the next round is determined probabilistically depending upon players' actions and the current state. Successful players need to balance the need for short-term payoffs while ensuring future opportunities remain high. The various techniques needed to analyze these often highly non-trivial games are a showcase of attractive mathematics, including methods from probability, differential equations, algebra, and combinatorics. This book presents a course on the theory of stochastic games going from the basics through to topics of modern research, focusing on conceptual clarity over complete generality. Each of its chapters introduces a new mathematical tool – including contracting mappings, semi-algebraic sets, infinite orbits, and Ramsey's theorem, among others – before discussing the game-theoretic results they can be used to obtain. The author assumes no more than a basic undergraduate curriculum and illustrates the theory with numerous examples and exercises, with solutions available online.

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Eilon Solan is the Nathan and Lily Silver Chair in Stochastic Models in the School of Mathematical Sciences at Tel Aviv University. He has more than 20 years' experience of teaching and research in stochastic games and he co-authored the undergraduate textbook Game Theory (Cambridge, second edition 2020). Professor Solan is also Founder and Director of the Good to Know project, which aims to make important ideas in science accessible to children and adolescents.