Continuous-time zero-sum stochastic game with stopping and control
نویسندگان
چکیده
منابع مشابه
Zero-sum stopping game associated with threshold probability
We consider a zero-sum stopping game (Dynkin’s game) with a threshold probability criterion in discrete time stochastic processes. We first obtain fundamental characterization of value function of the game and optimal stopping times for both players as the result of the classical Dynkin’s game, but the value function of the game and the optimal stopping time for each player depend upon a thresh...
متن کاملStochastic Recursive Zero-Sum Differential Game and Mixed Zero-Sum Differential Game Problem
Under the notable Issacs’s condition on the Hamiltonian, the existence results of a saddle point are obtained for the stochastic recursive zero-sum differential game and mixed differential game problem, that is, the agents can also decide the optimal stopping time. Themain tools are backward stochastic differential equations BSDEs and double-barrier reflected BSDEs. As the motivation and applic...
متن کاملBSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping
This paper studies two non-zero-sum stochastic differential games of control and stopping. One game has interaction in the players’ stopping rules, whereas the other does not. Solutions to backward stochastic differential equations (BSDEs) will be shown to provide the value processes of the first game. A multi-dimensional BSDE with reflecting barrier is studied in two cases for its solution: ex...
متن کاملThe Mean Value with Evaluation Measures and a Zero-Sum Stopping Game with Fuzzy Values
We firstly introduce an evaluation method of fuzzy numbers called the mean value with evaluation measures. Then, using this notion, a stopping game model with fuzzy random variables could be formulated. When a sequence of fuzzy-valued random variables(fuzzy RV) are observed, the important problem is how to treat and analyze the model. Previously the observed fuzzy RV’s are evaluated by probabil...
متن کاملTwo Player Non Zero-sum Stopping Games in Discrete Time
We prove that every two player non zero-sum stopping game in discrete time admits an -equilibrium in randomized strategies, for every > 0. We use a stochastic variation of Ramsey Theorem, which enables us to reduce the problem to that of studying properties of -equilibria in a simple class of stochastic games with finite state space.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2020
ISSN: 0167-6377
DOI: 10.1016/j.orl.2020.08.012