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

Xin Guo; Yi Zhang

doi:10.1016/j.jmaa.2017.03.073

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

Xin Guo, Yi Zhang

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	1194-1208
Number of pages	15
Journal	Journal of Mathematical Analysis and Applications
Volume	452
Issue number	2
DOIs	https://doi.org/10.1016/j.jmaa.2017.03.073
Publication status	Published - 15 Aug 2017

Bibliographical note

Funding Information:
This work was partially carried out with a financial grant from the Research Fund for Coal and Steel of the European Commission, within the INDUSE-2-SAFETY project (Grant No. RFSR-CT-2014-00025).

Publisher Copyright:
© 2017 Elsevier Inc.

Keywords

Continuous-time Markov decision processes
Stochastic game
Zero-sum game

ASJC Scopus subject areas

Analysis
Applied Mathematics

Access to Document

10.1016/j.jmaa.2017.03.073

Cite this

@article{839a3ba793e84c7abcddec3d80df5edd,

title = "Zero-sum continuous-time Markov pure jump game over a fixed duration",

abstract = "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.",

keywords = "Continuous-time Markov decision processes, Stochastic game, Zero-sum game",

author = "Xin Guo and Yi Zhang",

note = "Funding Information: This work was partially carried out with a financial grant from the Research Fund for Coal and Steel of the European Commission, within the INDUSE-2-SAFETY project (Grant No. RFSR-CT-2014-00025). Publisher Copyright: {\textcopyright} 2017 Elsevier Inc.",

year = "2017",

month = aug,

day = "15",

doi = "10.1016/j.jmaa.2017.03.073",

language = "English",

volume = "452",

pages = "1194--1208",

journal = "Journal of Mathematical Analysis and Applications",

issn = "0022-247X",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Zero-sum continuous-time Markov pure jump game over a fixed duration

AU - Guo, Xin

AU - Zhang, Yi

N1 - Funding Information: This work was partially carried out with a financial grant from the Research Fund for Coal and Steel of the European Commission, within the INDUSE-2-SAFETY project (Grant No. RFSR-CT-2014-00025). Publisher Copyright: © 2017 Elsevier Inc.

PY - 2017/8/15

Y1 - 2017/8/15

N2 - 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.

AB - 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.

KW - Continuous-time Markov decision processes

KW - Stochastic game

KW - Zero-sum game

UR - http://www.scopus.com/inward/record.url?scp=85016472784&partnerID=8YFLogxK

U2 - 10.1016/j.jmaa.2017.03.073

DO - 10.1016/j.jmaa.2017.03.073

M3 - Article

AN - SCOPUS:85016472784

SN - 0022-247X

VL - 452

SP - 1194

EP - 1208

JO - Journal of Mathematical Analysis and Applications

JF - Journal of Mathematical Analysis and Applications

IS - 2

ER -

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

Fingerprint

Cite this