Bias and overtaking equilibria for zero-sum stochastic differential games (Q438772): Difference between revisions

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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
 
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Property / reviewed by: Catherine Rainer / rank
 
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Property / Mathematics Subject Classification ID: 91A15 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 91A23 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 91A05 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 49N70 / rank
 
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Property / zbMATH DE Number: 6062503 / rank
 
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average (or ergodic) payoff criteria
Property / zbMATH Keywords: average (or ergodic) payoff criteria / rank
 
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bias optimality
Property / zbMATH Keywords: bias optimality / rank
 
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Property / zbMATH Keywords
 
zero-sum stochastic differential games
Property / zbMATH Keywords: zero-sum stochastic differential games / rank
 
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Property / zbMATH Keywords
 
overtaking optimality
Property / zbMATH Keywords: overtaking optimality / rank
 
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Revision as of 01:34, 30 June 2023

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Bias and overtaking equilibria for zero-sum stochastic differential games
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    Bias and overtaking equilibria for zero-sum stochastic differential games (English)
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    31 July 2012
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    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.
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    average (or ergodic) payoff criteria
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    bias optimality
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    zero-sum stochastic differential games
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    overtaking optimality
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