Bias and overtaking equilibria for zero-sum stochastic differential games (Q438772): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(6 intermediate revisions by 5 users not shown) | |||
Property / author | |||
Property / author: Beatris Adriana Escobedo-Trujillo / rank | |||
Property / author | |||
Property / author: Beatris Adriana Escobedo-Trujillo / rank | |||
Normal rank | |||
Property / review text | |||
The authors investigate a two-player zero-sum stochastic differential game with long-run average payoffs. They consider three types of equilibria: the classical average optimality and the more selective overtaking optimality and bias optimality, which are both concerned with the asymptotic optimization of the finite time game. It is shown that, under convinient assumptions, the sets of optimal strategies for each of these three concepts are non-empty and the following relations hold: If a strategy is bias optimal, then it is average optimal and overtaking optimal among the average optimal couples. If it is overtaking optimal, then it is bias optimal. The main tool used to establish the existence results and give a characterization of the optimal strategies and payoffs is the study of the average payoff optimality equations. In the last section, an explicit example motivated by a manufactoring system is developed. | |||
Property / review text: The authors investigate a two-player zero-sum stochastic differential game with long-run average payoffs. They consider three types of equilibria: the classical average optimality and the more selective overtaking optimality and bias optimality, which are both concerned with the asymptotic optimization of the finite time game. It is shown that, under convinient assumptions, the sets of optimal strategies for each of these three concepts are non-empty and the following relations hold: If a strategy is bias optimal, then it is average optimal and overtaking optimal among the average optimal couples. If it is overtaking optimal, then it is bias optimal. The main tool used to establish the existence results and give a characterization of the optimal strategies and payoffs is the study of the average payoff optimality equations. In the last section, an explicit example motivated by a manufactoring system is developed. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Catherine Rainer / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A15 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A23 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49N70 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6062503 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
average (or ergodic) payoff criteria | |||
Property / zbMATH Keywords: average (or ergodic) payoff criteria / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
bias optimality | |||
Property / zbMATH Keywords: bias optimality / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
zero-sum stochastic differential games | |||
Property / zbMATH Keywords: zero-sum stochastic differential games / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
overtaking optimality | |||
Property / zbMATH Keywords: overtaking optimality / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10957-011-9974-4 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2171996738 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic differential games: Occupation measure based approach / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Numerical Approximations for Stochastic Differential Games: The Ergodic Case / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4133453 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Equilibrium in supergames with the overtaking criterion / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5314895 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4861713 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Equilibrium in a dynamic game of capital accumulation with the overtaking criterion / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A counterexample on overtaking optimality / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Sensitive equilibria for ergodic stochastic games with countable state spaces / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optimal strategies in a class of zero-sum ergodic stochastic games / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Characterizations of overtaking optimality for controlled diffusion processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Bias and overtaking equilibria for zero-sum continuous-time Markov games / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Uniform Recurrence Properties of Controlled Diffusions and Applications to Optimal Control / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Ergodic Control of Switching Diffusions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Invariant measures and evolution equations for Markov processes characterized via martingale problems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5313290 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Minimax Theorems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On general minimax theorems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Some Results on the Bellman Equation of Ergodic Control / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Ergodic control of multidimensional diffusions. II: Adaptive control / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the Poisson equation for singular diffusions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Blackwell Optimality for Controlled Diffusion Processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optimal control of production rate in a failure prone manufacturing system / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4040640 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 12:54, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Bias and overtaking equilibria for zero-sum stochastic differential games |
scientific article |
Statements
Bias and overtaking equilibria for zero-sum stochastic differential games (English)
0 references
31 July 2012
0 references
The authors investigate a two-player zero-sum stochastic differential game with long-run average payoffs. They consider three types of equilibria: the classical average optimality and the more selective overtaking optimality and bias optimality, which are both concerned with the asymptotic optimization of the finite time game. It is shown that, under convinient assumptions, the sets of optimal strategies for each of these three concepts are non-empty and the following relations hold: If a strategy is bias optimal, then it is average optimal and overtaking optimal among the average optimal couples. If it is overtaking optimal, then it is bias optimal. The main tool used to establish the existence results and give a characterization of the optimal strategies and payoffs is the study of the average payoff optimality equations. In the last section, an explicit example motivated by a manufactoring system is developed.
0 references
average (or ergodic) payoff criteria
0 references
bias optimality
0 references
zero-sum stochastic differential games
0 references
overtaking optimality
0 references
0 references
0 references
0 references
0 references