  Zero-sum stochastic games generalize the notion of Markov Decision Processes
(i.e. controlled Markov chains, or stochastic dynamic programming) to the
2-player competitive case : two players jointly control the evolution of a
state variable, and have opposite interests. These notes constitute a short
mathematical introduction to the theory of such games. Section 1 presents the
basic model with finitely many states and actions. We give proofs of the
standard results concerning : the existence and formulas for the values of the
n-stage games, of the $\lambda$-discounted games, the convergence of these
values when $\lambda$ goes to 0 (algebraic approach) and when n goes to
+$\infty$, an important example called 'The Big Match' and the existence of the
uniform value. Section 2 presents a short and subjective selection of related
and more recent results : 1-player games (MDP) and the compact non expansive
case, a simple compact continuous stochastic game with no asymptotic value, and
the general equivalence between the uniform convergence of (v n) n and (v
$\lambda$) $\lambda$. More references on the topic can be found for instance in
the books by Mertens-Sorin
