A Continuous Time Approach for the Asymptotic Value in Two-Person Zero-Sum Repeated Games

A Continuous Time Approach for the Asymptotic Value in Two-Person Zero-Sum Repeated Games

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 con...

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Veröffentlicht in:SIAM journal on control and optimization 2012-01, Vol.50 (3), p.1573-1596
Hauptverfasser: Cardaliaguet, Pierre, Laraki, Rida, Sorin, Sylvain
Format: Artikel
Sprache:eng
Schlagworte:
Economics and Finance
Games
General Mathematics
Humanities and Social Sciences
Mathematics
Probability
Values
Viscosity
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Zusammenfassung: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. [PUBLICATION ABSTRACT]
ISSN:0363-0129
1095-7138
DOI:10.1137/110839473