Bias and overtaking equilibria for zero-sum stochastic differential games (Q438772)

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.