  We consider 2-player zero-sum stochastic games where each player controls his
own state variable living in a compact metric space. The terminology comes from
gambling problems where the state of a player represents its wealth in a
casino. Under natural assumptions (such as continuous running payoff and non
expansive transitions), we consider for each discount factor the value v
$\lambda$ of the $\lambda$-discounted stochastic game and investigate its limit
when $\lambda$ goes to 0. We show that under a strong acyclicity condition, the
limit exists and is characterized as the unique solution of a system of
functional equations: the limit is the unique continuous excessive and
depressive function such that each player, if his opponent does not move, can
reach the zone when the current payoff is at least as good than the limit
value, without degrading the limit value. The approach generalizes and provides
a new viewpoint on the Mertens-Zamir system coming from the study of zero-sum
repeated games with lack of information on both sides. A counterexample shows
that under a slightly weaker notion of acyclicity, convergence of (v $\lambda$)
may fail.
