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Pré-Publication, Document De Travail Année : 2016

LIMIT VALUE OF DYNAMIC ZERO-SUM GAMES WITH VANISHING STAGE DURATION

Résumé

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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hal-01291569 , version 1 (29-03-2016)

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Sylvain Sorin. LIMIT VALUE OF DYNAMIC ZERO-SUM GAMES WITH VANISHING STAGE DURATION. 2016. ⟨hal-01291569⟩
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