Stochastic game with lexicographic payoffs

Stochastic games are discussed as a priva-te class of a general dynamic games. A certain class of lexicographic noncooperative games is studied - lexi-cographic stochastic matrix games . The problem of the existence of Nash equilibrium is studied with two analyses - standard and nonstandard way. Standard means using the same kind of mixed strategies in case of scalar games. In this case in lexi-cographic stochastic matrix game Nash equilibrium may not be existed. Its existence takes place in relevant stochastic affine matrix game to the existence of Nash equilibrium. In game a set of Nash equi-librium is given by means of relevant stochastic affine matrix game's set of equilibrium. The sufficient condi-tions of the existance such affine game is proved. In nonstandard way of analyses we use such mixed stra-tegies, they use components with lexicog-raphic probabilites. In this case the kinds of subsets of a set of equilibrium in game are described.