Approximate solutions of continuous-time stochastic games
Optimization and Control
2016-02-16 v1 Analysis of PDEs
Probability
Abstract
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 value function of differential game by the solution of countable system of ODEs.
Keywords
Cite
@article{arxiv.1602.04785,
title = {Approximate solutions of continuous-time stochastic games},
author = {Yurii Averboukh},
journal= {arXiv preprint arXiv:1602.04785},
year = {2016}
}
Comments
23 pages