Minimax representation of nonexpansive functions and application to zero-sum recursive games
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Publication:4609985
risk measuresShapley operatorszero-sum gamesminimax representationrecursive gamesnonexpansive mapsweak Minkowski norms
Convexity of real functions of several variables, generalizations (26B25) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Stochastic games, stochastic differential games (91A15) Existence of solutions for minimax problems (49J35)
Abstract: We show that a real-valued function on a topological vector space is positively homogeneous of degree one and nonexpansive with respect to a weak Minkowski norm if and only if it can be written as a minimax of linear forms that are nonexpansive with respect to the same norm. We derive a representation of monotone, additively and positively homogeneous functions on spaces and on , which extend results of Kolokoltsov, Rubinov, Singer, and others. We apply this representation to nonconvex risk measures and to zero-sum games. We derive in particular results of representation and polyhedral approximation for the class of Shapley operators arising from games without instantaneous payments (Everett's recursive games).
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