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- Title
Limit Value of Dynamic Zero-Sum Games with Vanishing Stage Duration.
- Authors
Sorin, Sylvain
- Abstract
We consider two-person zero-sum games where the players control, at discrete times{tn} g induced by a partition Π of R+, a continuous time Markov 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), and (2) games with unknown state and symmetric signals. The proof is by reduction to deterministic differential games.
- Subjects
ZERO sum games; MATHEMATICAL analysis; NUMERICAL analysis; DISCRETE systems; PARTITIONS (Mathematics)
- Publication
Mathematics of Operations Research, 2018, Vol 43, Issue 1, p51
- ISSN
0364-765X
- Publication type
Article
- DOI
10.1287/moor.2017.0851