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
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;
Conference_Titel :
Decision and Control, 2006 45th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
1-4244-0171-2
DOI :
10.1109/CDC.2006.377477
