Limit value of dynamic zero-sum games with vanishing stage duration

DOI10.1287/MOOR.2017.0851MaRDI QIDQ5219299zbMATH OpenOpenAlexFDO

Authors Sylvain Sorin

Publication date 11 March 2020

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.09089

zbMATH Keywords

dynamic gameslimit valuezero sumvanishing stage duration

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

Abstract: We consider two person zero-sum games where the players control, at discrete times {tn} induced by a partition $Pi$ of R + , a continuous time Markov state process. We prove that the limit of the values v$Pi$ exist as the mesh of $Pi$ goes to 0. The analysis covers the cases of : 1) stochastic games (where both players know the state) 2) symmetric no information. The proof is by reduction to a deterministic differential game.

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Cited in

(1)

• Limit Hamilton--Jacobi--Isaacs Equations for Singularly Perturbed Zero-Sum Dynamic (Discrete Time) Games

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