Abstract
We study the sufficient conditions for the existence of a saddle point of a time-dependent discrete Markov zero-sum game up to a given stopping time. The stopping time is allowed to take either a finite or an infinite non-negative random variable with its associated objective function being well-defined. The result enables us to show the existence of the saddle points of discrete games constructed by Markov chain approximation of a class of stochastic differential games.
Original language | English |
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Pages (from-to) | 1898-1903 |
Number of pages | 6 |
Journal | Automatica |
Volume | 48 |
Issue number | 8 |
DOIs | |
Publication status | Published - 1 Aug 2012 |
Keywords
- Dynamic game
- Dynamic programming principle
- Markov chain approximation
- Saddle points
ASJC Scopus subject areas
- Control and Systems Engineering
- Electrical and Electronic Engineering