DocumentCode
2479163
Title
Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games
Author
Song, Q.S. ; Yin, G.
Author_Institution
Dept. of Math., Southern California Univ., Los Angeles, CA
fYear
2006
fDate
13-15 Dec. 2006
Firstpage
6325
Lastpage
6330
Abstract
This work establishes sufficient conditions for existence of saddle points in discrete Markov games. The result reveals the relation between dynamic games and static games using dynamic programming equations. This result enables us to prove existence of saddle points of non-separable stochastic differential games of regime-switching diffusions under appropriate conditions
Keywords
Markov processes; differential games; dynamic programming; stochastic games; discrete Markov games; dynamic games; dynamic programming equation; regime-switching diffusions; saddle points; static games; stochastic differential game; Communication networks; Communication system traffic control; Cost function; Dynamic programming; Equations; Mathematics; Stochastic processes; Stochastic systems; Sufficient conditions; USA Councils;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2006 45th IEEE Conference on
Conference_Location
San Diego, CA
Print_ISBN
1-4244-0171-2
Type
conf
DOI
10.1109/CDC.2006.377477
Filename
4177789
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