Blackwell-Nash Equilibrium for Discrete and Continuous Time Stochastic Games

We consider both discrete and continuous time finite state-action stochastic games. In discrete time stochastic games, it is known that a stationary Blackwell-Nash equilibrium (BNE) exists for a single controller additive reward (SC-AR) stochastic game which is a special case of a general stochastic game. We show that, in general, the additive reward condition is needed for the existence of a BNE. We give an example of a single controller stochastic game which does not satisfy additive reward condition. We show that this example does not have a stationary BNE. For a general discrete time discounted stochastic game we give two different sets of conditions and show that a stationary Nash equilibrium that satisfies any set of conditions is a BNE. One of these sets of conditions weakens a set of conditions available in the literature. For continuous time stochastic games, we give an example that does not have a stationary BNE. In fact, this example is a single controller continuous time stochastic game. Then, we introduce a continuous time SC-AR stochastic game. We show that there always exists a stationary deterministic BNE for continuous time SC-AR stochastic game. For a general continuous time discounted stochastic game we give two different sets of conditions and show that a Nash equilibrium that satisfies any set of conditions is a BNE.

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