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.
Domaines
Optimisation et contrôle [math.OC]
Origine : Fichiers produits par l'(les) auteur(s)
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