Zero-sum continuous-time Markov pure jump game over a fixed duration

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:452

Article

Guo, Xin¹  Zhang, Yi¹ 

[1] Univ Liverpool, Dept Math Sci, Liverpool L69 7ZL, Merseyside, England

关键词: Continuous-time Markov decision processes;    Zero-sum game;    Stochastic game;   

DOI  :  10.1016/j.jmaa.2017.03.073

来源: Elsevier

【 摘 要 】

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. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free