Zero-sum continuous-time Markov pure jump game over a fixed duration

2016/11/11 by Guo, Xin, Zhang, Yi
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1611.03913

Abstract

This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward rate. Under some regularity conditions, we show that the game has a value, and both of the players have their optimal policies.

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