Zero-sum stochastic games with stopping and control

Zero-sum stochastic games with stopping and control

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Article ID: iaor20084068
Country: Netherlands
Volume: 35
Issue: 6
Start Page Number: 799
End Page Number: 804
Publication Date: Nov 2007
Journal: Operations Research Letters
Authors: ,
Keywords: stochastic processes
Abstract:

We study a zero-sum stochastic game where each player uses both control and stopping times. Under certain conditions we establish the existence of a saddle point equilibrium, and show that the value function of the game is the unique solution of certain dynamic programming inequalities with bilateral contraints.

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