Relative Value Iteration for Stochastic Differential Games

DOI10.1007/978-3-319-02690-9_1MaRDI QIDQ2926593zbMATH OpenOpenAlexWikidataFDO

Authors Vivek Borkar, K. Suresh Kumar, Ari Arapostathis

Publication date 31 October 2014

Published in Annals of the International Society of Dynamic Games (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.8188

zbMATH Keywords

stochastic differential gamesergodic controlrisk-sensitive controlrelative value iteration

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Abstract: We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for the ergodic game and characterize the optimal stationary strategies. The data is not assumed to be bounded, nor do we assume geometric ergodicity. Thus our results extend previous work in the literature. We also study a relative value iteration scheme that takes the form of a parabolic Isaac's equation. Under the hypothesis of geometric ergodicity we show that the relative value iteration converges to the elliptic Isaac's equation as time goes to infinity. We use these results to establish convergence of the relative value iteration for risk-sensitive control problems under an asymptotic flatness assumption.

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Cited in

(9)

• Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games
• Discount-sensitive equilibria in zero-sum stochastic differential games
• A relative value iteration algorithm for nondegenerate controlled diffusions
• On the relative value iteration with a risk-sensitive criterion
• Optimistic and topological value iteration for simple stochastic games
• Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control
• An Accelerated Value/Policy Iteration Scheme for Optimal Control Problems and Games
• Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
• scientific article; zbMATH DE number 4121797 (Why is no real title available?)

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