  The main goal of this paper is to discuss several approaches to formulation
of distributionally robust counterparts of Markov Decision Processes, where the
transition kernels are not specified exactly but rather are assumed to be
elements of the corresponding ambiguity sets. The intent is to clarify some
connections between the game and static formulations of distributionally robust
MDPs, and delineate the role of rectangularity associated with ambiguity sets
in determining these connections.
