Abstract

Given a two-person, nonzero-sum stochastic game where the second player controls the transitions, we formulate a linear complementarity problem LCP(q, M) whose solution gives a Nash equilibrium pair of stationary strategies under the limiting average payoff criterion. The matrix M constructed is of the copositive class so that Lemke's algorithm will process it. We will also do the same for a special class of N-person stochastic games called polymatrix stochastic games.

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