Multiple Stieltjes constants and Laurent type expansion of the multiple zeta functions at integer points

In this article, we study the local behaviour of the multiple zeta functions at integer points and write down a Laurent type expansion of the multiple zeta functions around these points. Such an expansion involves a convergent power series whose coefficients are obtained by a regularisation process, similar to the one used in defining the classical Stieltjes constants for the Riemann zeta function. We therefore call these coefficients {\it multiple Stieltjes constants}. The remaining part of the above mentioned Laurent type expansion is then expressed in terms of the multiple Stieltjes constants arising in smaller depths.