On martingale problems with continuous-time mixing and values of zero-sum games without the Isaacs condition

DOI10.1137/130929977MaRDI QIDQ5173265zbMATH OpenOpenAlexFDO

Authors Mihai Sîrbu

Publication date 9 February 2015

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

Full work available at URL https://arxiv.org/abs/1307.4686

zbMATH Keywords

continuous-time mixinggame valuegeneralized strategiesmartingale problem

Mathematics Subject Classification ID

Differential games and control (49N70) Martingales and classical analysis (60G46) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Abstract: We consider a zero-sum stochastic differential game over elementary mixed feed-back strategies. These are strategies based only on the knowledge of the past state, randomized continuously in time from a sampling distribution which is kept constant in between some stopping rules. Once both players choose such strategies, the state equation admits a unique solution in the sense of the martingale problem of Stroock and Varadhan. We show that the game defined over martingale solutions has a value, which is the unique continuous viscosity solution of the randomized Isaacs equation.

Recommendations

• Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
• On the value of stochastic differential games
• scientific article; zbMATH DE number 4125214
• Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
• Stochastic Perron's method and elementary strategies for zero-sum differential games

Cited in

(12)

• Zero-sum path-dependent stochastic differential games in weak formulation
• Stochastic Perron's method and elementary strategies for zero-sum differential games
• Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
• Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
• Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising
• Differential games with asymmetric information and without Isaacs' condition
• Zero-sum and nonzero-sum differential games without Isaacs condition
• Asymptotic Perron's method and simple Markov strategies in stochastic games and control
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• GANs training: A game and stochastic control approach
• Verification theorem related to a zero sum stochastic differential game based on a chain rule for nonsmooth functions
• Guessing a random function and repeated games in continuous time

This page was built for publication: On martingale problems with continuous-time mixing and values of zero-sum games without the Isaacs condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5173265)