Zero-sum continuous-time Markov pure jump game over a fixed duration
Optimization and Control
2017-03-31 v2
Abstract
This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward rate. Under some regularity conditions, we show that the game has a value, and both of the players have their optimal policies.
Cite
@article{arxiv.1611.03913,
title = {Zero-sum continuous-time Markov pure jump game over a fixed duration},
author = {Xin Guo and Yi Zhang},
journal= {arXiv preprint arXiv:1611.03913},
year = {2017}
}