On the adjoint Markov policies in stochastic differential games

arXiv1903.10072MaRDI QIDQ6316124FDOQ6316124

Authors: N. V. Krylov 

Publication date: 24 March 2019

Abstract: We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are actually time-homogeneous Markov, however, relative not to the original process but to a couple of processes governed by a system consisting of the main original equation and of an adjoint stochastic equations of the same type as the main one. We show how to find $varepsilon$-optimal strategies and policies in these classes by using the solvability in Sobolev spaces of not the original Isaacs equation but of its appropriate modification. We also give an example of a uniformly nondegenerate game where our assumptions are not satisfied and where we conjecture that there are no not only optimal Markov but even $varepsilon$-optimal adjoint (time-homogeneous) Markov strategies for one of the players.

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

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