Asymptotic Perron's method and simple Markov strategies in stochastic games and control

DOI10.1137/140968926zbMATH Open1336.91017arXiv1402.7030OpenAlexW1568002336MaRDI QIDQ5501201FDOQ5501201

Authors: Mihai Sîrbu 

Publication date: 3 August 2015

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

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 $varepsilon$-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.

Full work available at URL: https://arxiv.org/abs/1402.7030

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zbMATH Keywords

stochastic differential gamesviscosity solutionPerron's methodlower Isaacs equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15)

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Cited In (6)

• Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising
• A general verification result for stochastic impulse control problems
• Zero-sum path-dependent stochastic differential games in weak formulation
• Stochastic Perron's method and elementary strategies for zero-sum differential games

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