APPROXIMATE SOLUTIONS OF CONTINUOUS-TIME STOCHASTIC GAMES

被引：11

作者：

Averboukh, Yurii ^{[1
,2
]}

机构：

[1] Krasovskii Inst Math & Mech, Ekaterinburg, Russia

[2] Ural Fed Univ, Ekaterinburg, Russia

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2016年 / 54卷 / 05期

基金：

俄罗斯基础研究基金会;

关键词：

continuous-time stochastic games; differential games; strategy with memory; near optimal strategies; extremal shift; DIFFERENTIAL-GAMES; EXISTENCE;

D O I：

10.1137/16M1062247

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a model game. The dynamics of the model game differs from the original one. The general result applied to differential games yields the approximation of the value function of the differential game by the solution of countable system of ODEs.

引用

页码：2629 / 2649

页数：21

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