Zero-sum continuous-time Markov pure jump game over a fixed duration

DOI10.1016/J.JMAA.2017.03.073zbMATH Open1414.91044arXiv1611.03913OpenAlexW2551690903MaRDI QIDQ2396685FDOQ2396685

Authors: Xin Guo, Yi Zhang 

Publication date: 24 May 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward rate. Under some regularity conditions, we show that the game has a value, and both of the players have their optimal policies.

Full work available at URL: https://arxiv.org/abs/1611.03913

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zbMATH Keywords

stochastic gamezero-sum gamecontinuous-time Markov decision processes

Mathematics Subject Classification ID

2-person games (91A05) Markov and semi-Markov decision processes (90C40) Stochastic games, stochastic differential games (91A15)

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Cited In (7)

• Determining the distribution of the duration of stationary games for zero-order Markov processes with final sequence of states
• Zero-sum games for continuous-time jump Markov processes in Polish spaces: discounted payoffs
• Continuous-time zero-sum games with probability criterion
• Zero-sum stochastic games with the average-value-at-risk criterion
• Zero-sum continuous-time Markov games with unbounded transition and discounted payoff rates
• Zero-sum infinite-horizon discounted piecewise deterministic Markov games
• Zero-sum games for continuous-time Markov chains with unbounded transition and average payoff rates

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