Asymptotic Perron's method and simple Markov strategies in stochastic games and control
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Publication:5501201
Abstract: We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementary way, that in a zero-sum game or a control problem (with or without model uncertainty), the value function over all strategies coincides with the value function over Markov strategies discretized in time. Therefore, there are always discretized Markov -optimal strategies, (uniform with respect to the bounded initial condition). With a minor modification, the method produces a value and approximate saddle points for an asymmetric game of feedback strategies vs. counter-strategies.
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(6)- Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising
- Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
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