In game theory, a stochastic game (or Markov game), introduced by Lloyd Shapley in the early 1950s,[1] is a repeated game with probabilistic transitions played by one or more players. The game is played in a sequence of stages. At the beginning of each stage the game is in some state. The players select actions and each player receives a payoff that depends on the current state and the chosen actions. The game then moves to a new random state whose distribution depends on the previous state and the actions chosen by the players. The procedure is repeated at the new state and play continues for a finite or infinite number of stages. The total payoff to a player is often taken to be the discounted sum of the stage payoffs or the limit inferior of the averages of the stage payoffs.
Stochastic games generalize Markov decision processes to multiple interacting decision makers, as well as strategic-form games to dynamic situations in which the environment changes in response to the players’ choices.[2]
^Shapley, L. S. (1953). "Stochastic games". PNAS. 39 (10): 1095–1100. Bibcode:1953PNAS...39.1095S. doi:10.1073/pnas.39.10.1095. PMC 1063912. PMID 16589380.
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