Existence of saddle points in discrete Markov games and its application in numerical methods for stochastic differential games

被引：0

作者：

Song, Q. S. ^{[1
]}

Yin, G. ^{[2
]}

机构：

[1] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

PROCEEDINGS OF THE 45TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14 | 2006年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This work establishes sufficient conditions for existence of saddle points in discrete Markov games. The result reveals the relation between dynamic games and static games using dynamic programming equations. This result enables us to prove existence of saddle points of non-separable stochastic differential games of regime-switching diffusions under appropriate conditions.

引用

页码：6327 / +

页数：2

共 20 条

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[2]

Elliott RJ., 1972, EXISTENCE VALUE DIFF

[3] RISK-SENSITIVE CONTROL ON AN INFINITE TIME HORIZON [J].