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Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games

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2 Author(s)
Song, Q.S. ; Dept. of Math., Southern California Univ., Los Angeles, CA ; Yin, G.

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

Published in:

Decision and Control, 2006 45th IEEE Conference on

Date of Conference:

13-15 Dec. 2006