| Article ID: | iaor20134330 |
| Volume: | 3 |
| Issue: | 2 |
| Start Page Number: | 172 |
| End Page Number: | 186 |
| Publication Date: | Jun 2013 |
| Journal: | Dynamic Games and Applications |
| Authors: | Vigeral Guillaume |
| Keywords: | stochastic processes |
We give an example of a zero‐sum stochastic game with four states, compact action sets for each player, and continuous payoff and transition functions, such that the discounted value does not converge as the discount factor tends to 0, and the value of the