Continuous-Time Constrained Stochastic Games under the Discounted Cost Criteria

In this paper, we consider the continuous-time nonzero-sum constrained stochastic games with the discounted cost criteria. The state space is denumerable and the action space of each player is a general Polish space, while the transition rates and cost functions are allowed to be unbounded from below and from above. The strategies for each player may be history-dependent and randomized. Models with these features seemingly have not been handled in the previous literature. By constructing a sequence of continuous-time finite-state game models to approximate the original denumerable-state game model, we prove the existence of constrained Nash equilibria for the constrained games with denumerable states.