A CONTINUOUS TIME APPROACH FOR THE ASYMPTOTIC VALUE IN TWO-PERSON ZERO-SUM REPEATED GAMES

作者：Cardaliaguet Pierre^*; Laraki Rida; Sorin Sylvain

来源：SIAM Journal on Control and Optimization, 2012, 50(3): 1573-1596.

DOI：10.1137/110839473

• stochastic games
• repeated games
• incomplete information
• asymptotic value
• comparison principle
• variational inequalities
• viscosity solutions
• continuous time

We consider the asymptotic value of two person zero-sum repeated games with general evaluations of the stream of stage payoffs. We show existence for incomplete information games, splitting games, and absorbing games. The technique of proof consists of embedding the discrete repeated game into a continuous time game and to use viscosity solution tools.

• 出版日期2012