Approximate solutions of continuous-time stochastic games

DOI10.1137/16M1062247zbMATH Open1410.91044arXiv1602.04785OpenAlexW2962759313WikidataQ57919046 ScholiaQ57919046MaRDI QIDQ2822796FDOQ2822796

Authors: Yuriĭ V. Averbukh 

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a model game. The dynamics of the model game differs from the original one. The general result applied to differential games yields the approximation of value function of differential game by the solution of countable system of ODEs.

Full work available at URL: https://arxiv.org/abs/1602.04785

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zbMATH Keywords

differential gamesextremal shiftcontinuous-time stochastic gamesstrategy with memorynear optimal strategies

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Continuous-time Markov processes on general state spaces (60J25) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

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Cited In (20)

• Numerical Approximations for Stochastic Differential Games: The Ergodic Case
• On a Diffusion Approximation of a Prediction Game
• Caracterizacion de la funcion de valor de los juegos estocasticos continuos
• Solvable states in stochastic games
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• Markov approximations of nonzero-sum differential games
• Title not available (Why is that?)
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• On regularity properties and approximations of value functions for stochastic differential games in domains
• Approximating the value functions for stochastic differential games with the ones having bounded second derivatives
• Approximation of value function of differential game with minimal cost
• Differential game with discrete stopping time
• Title not available (Why is that?)
• Structure of approximate solutions of dynamic continuous time zero-sum games
• Title not available (Why is that?)
• Lattice approximations of the first-order mean field type differential games
• A differential game with the possibility of early termination
• Differential game with discrete stopping time
• Title not available (Why is that?)
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