Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies

DOI10.1007/S00182-012-0351-9MaRDI QIDQ378340zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, Marc Quincampoix, Juan Li

Publication date 11 November 2013

Published in International Journal of Game Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.1443

zbMATH Keywords

value functionviscosity solutionIsaacs conditiondynamic programming principle2-person zero-sum differential gamesnonanticipative strategy with delay

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Dynamic programming in optimal control and differential games (49L20)

Abstract: In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are associated with classical nonanticipative strategies (with delay). Imposing on the underlying controls for both players a conditional independence property, we obtain the existence of the value in mixed strategies as the limit of the lower as well as of the upper value functions along a sequence of partitions which mesh tends to zero. Moreover, we characterize this value in mixed strategies as the unique viscosity solution of the corresponding Hamilton-Jacobi-Isaacs equation.

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Cited in

(17)

• Zero-sum and nonzero-sum differential games without Isaacs condition
• Continuous-time stochastic games of fixed duration
• Existence of value in stochastic differential games of mixed type
• Guessing a random function and repeated games in continuous time
• Differential games
• Existence of value for a differential game with asymmetric information and signal revealing
• scientific article; zbMATH DE number 4014490 (Why is no real title available?)
• Differential games with incomplete information on a continuum of initial positions and without Isaacs condition
• Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
• Limit value of dynamic zero-sum games with vanishing stage duration
• Pure and random strategies in differential game with incomplete informations
• Differential games with asymmetric information and without Isaacs' condition
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• The problem of approach in differential-difference games
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