Saddle points of discrete Markov zero-sum game with stopping

DOI10.1016/j.automatica.2012.06.012zbMath1269.49075OpenAlexW1976931394MaRDI QIDQ2391503

Qingshuo Song, Jie Shen, Xun Li

Publication date: 31 July 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0005109812002634

zbMATH Keywords

saddle pointsdynamic gamedynamic programming principleMarkov chain approximation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

Cites Work

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• On general minimax theorems
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• Controlled Markov processes and viscosity solutions
• Numerical Approximations for Stochastic Differential Games
• Risk-Sensitive Control on an Infinite Time Horizon
• Numerical Solutions for Stochastic Differential Games With Regime Switching
• Minimax Theorems

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