Limit value of dynamic zero-sum games with vanishing stage duration

2016/03/30 by Sylvain Sorin, Sorin, Sylvain
Mathematics · #FOS: Mathematics #Optimization and Control (math.OC) #math.OC

paper · pdf · doi:10.48550/arxiv.1603.09089

arxiv created 2016/03/30 · arxiv updated 2016/03/31

Abstract

We consider two person zero-sum games where the players control, at discrete times tn induced by a partition Π of R + , a continuous time Markov state process. We prove that the limit of the values vΠ exist as the mesh of Π goes to 0. The analysis covers the cases of : 1) stochastic games (where both players know the state) 2) symmetric no information. The proof is by reduction to a deterministic differential game.

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