Discount-sensitive equilibria in zero-sum stochastic differential games

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January 2016, 3(1): 25-50. doi: 10.3934/jdg.2016002

Discount-sensitive equilibria in zero-sum stochastic differential games

Beatris A. Escobedo-Trujillo ^1,

1.	Engineering Faculty, Universidad Veracruzana, Coatzacoalcos, Ver. 96538, Mexico

Received April 2015 Revised November 2015 Published March 2016

Abstract
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We consider infinite-horizon zero-sum stochastic differential games with average payoff criteria, discount -sensitive criteria and, infinite-horizon undiscounted reward criteria which are sensitive to the growth rate of finite-horizon payoffs. These criteria include, average reward optimality, strong 0-discount optimality, strong -1-discount optimality, 0-discount optimality, bias optimality, F-strong average optimality and overtaking optimality. The main objective is to give conditions under which these criteria are interrelated.

Keywords: strong average., Additive structure, sensitive equilibria, Nash equlibrium, $m-$ discount optimality.

Mathematics Subject Classification: Primary: 91A10, 91A15, 91A2.

Citation: Beatris A. Escobedo-Trujillo. Discount-sensitive equilibria in zero-sum stochastic differential games. Journal of Dynamics and Games, 2016, 3 (1) : 25-50. doi: 10.3934/jdg.2016002

References:

[1]	A. Arapostathis and V. Borkar, Uniform recurrence properties of controlled diffusions and applications to optimal control, SIAM J. Control Optim., 48 (2010), 4181-4223. doi: 10.1137/090762464.
[2]	A. Arapostathis, M. Ghosh and V. Borkar, Ergodic Control of Diffusion Processes, Vol. 143, Encyclopedia of Mathematics and its Applications, Cambridge University Press, 2012.
[3]	A. Arapostathis, V. Borkar and K. Surech, Relative value iteration for stochastic differential games, arXiv:1210.8188v2, Advances in Dynamic Games, 13 (2013), 3-27. doi: 10.1007/978-3-319-02690-9_1.
[4]	M. Bardi, Explicit solutions of some linear-quadratic mean field games. Networks and heterogeneous media, American Institute of Mathematical Sciences, 7 (2012), 243-261. doi: 10.3934/nhm.2012.7.243.
[5]	V. Borkar and M. Ghosh, Stochastic differential games: Occupation measure based approach, J. Optim. Theory Appl., 73 (1992), 359-385. Correction: 88 (1996), 251-252. doi: 10.1007/BF00940187.
[6]	R. Cavazos-Cadena and J. B. Lasserre, Strong 1-optimal stationary policies in denumerable Markov decision processes, Syst. Control Lett., 11 (1988), 65-71. doi: 10.1016/0167-6911(88)90113-2.
[7]	B. Escobedo-Trujillo, D. López-Barrientos and O. Hernández-Lerma, Bias and overtaking equilibria for zero-sum stochastic differential games, J. Optim. Theory Appl., 153 (2012), 662-687. doi: 10.1007/s10957-011-9974-4.
[8]	B. Escobedo-Trujillo and J. López-Barrientos, Nonzero-sum stochastic differential games with additive structure and average payoffs, Journal of Dynamics and Games, 1 (2014), 555-578. doi: 10.3934/jdg.2014.1.555.
[9]	K. Fan, Fixed-point and minimax theorems in locally convex linear spaces, Proc. N.A.S.U.S.A., 38 (1952), 121-126. doi: 10.1073/pnas.38.2.121.
[10]	A. Friedman, Stochastic Differential Equations and Applications, Vol. 1, Academic Press, New York, 1975.
[11]	J. Flynn, On optimality criteria for dynamic programs with long finite horizons, J. Math. Anal. Appl., 76 (1980), 202-208. doi: 10.1016/0022-247X(80)90072-4.
[12]	M. Ghosh, A. Arapostathis and S. Marcus, Ergodic control of switching diffusions, SIAM J. Control Optim., 35 (1997), 1952-1988. doi: 10.1137/S0363012996299302.
[13]	O. Hernández-Lerma and O. Vega-Amaya, Infinite-horizon Markov control processes with undiscounted cost criteria: from average to overtaking optimality, Appl. Math. (Warsaw), 25 (1998), 153-178.
[14]	O. Hernández-Lerma and J. Lasserre, Further Topics on Discrete-Time Markov Control Processes, Springer, New York, 1999. doi: 10.1007/978-1-4612-0561-6.
[15]	N. Hilgert and O. Hernández-Lerma, Bias optimality versus strong 0-discount optimality in Markov control processes with unbounded costs, Acta Applicandae Mathematicae, 77 (2003), 215-235. doi: 10.1023/A:1024996308133.
[16]	H. Jasso-Fuentes and O. Hernández-Lerma, Characterizations of overtaking optimality for controlled diffusion processes, Appl. Math. Optim., 57 (2008), 349-369. doi: 10.1007/s00245-007-9025-6.
[17]	H. Jasso-Fuentes and O. Hernández-Lerma, Ergodic control, bias, and sensitive discount optimality for Markov diffusion processes, Stochatic Analysis and Applications, 27 (2009), 363-385. doi: 10.1080/07362990802679034.
[18]	H. Jasso-Fuentes, J. López-Barrientos and B. Escobedo-Trujilo, Infinite horizon nonzero-sum stochastic differential games with additive structure, IMA J. Math. Control Inform. doi: 10.1093/imamci/dnv045, (2015).
[19]	S. Meyn and R. Tweedie, Stability of Markovian processes. III. Foster-Lyapunov criteria for continuous-time precesses, Adv. Appl. Prob., 25 (1993), 518-548. doi: 10.2307/1427522.
[20]	H. Morimoto and M. Ohashi, On linear stochastic differential games with average cost criterions, J. Optim. Theory Appl., 64 (1990), 127-140. doi: 10.1007/BF00940027.
[21]	A. Nowak, Sensitive equilibria for ergodic stochastic games with countable state spaces, Math. Meth. Oper. Res., 50 (1999), 65-76.
[22]	A. Nowak, Optimal strategies in a class of zero-sum ergodic stochastic games, Math. Meth. Oper. Res., 50 (1999), 399-419. doi: 10.1007/s001860050078.
[23]	A. Nowak, Remark on sensitive equilibria in stochastic games with additive reward and transition structure, Math. Meth. Oper. Res., 64 (2006), 481-494. doi: 10.1007/s00186-006-0090-4.
[24]	T. Prieto-Rumeau and O. Hernández-Lerma, Bias and overtaking equilibria for zero-sum continuous-time Markov games, Math. Meth. Oper. Res., 61 (2005), 437-454. doi: 10.1007/s001860400392.
[25]	T. Prieto-Rumeau and O. Hernández-Lerma, The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains, Math. Meth. Oper. Res., 61 (2005), 123-145. doi: 10.1007/s001860400393.
[26]	M. Puterman, Sensitive discount optimality in controlled one-dimensional diffusions, Annals of Probability, 2 (1974), 408-419. doi: 10.1214/aop/1176996656.
[27]	W. Qingda and C. Xian, Strong average optimality criterion for continuos-time Markov decision processes, Kybernetika, 50 (2014), 950-977.
[28]	M. Sion, On general minimax theorems, Pacific J. Math., 8 (1958), 171-176. doi: 10.2140/pjm.1958.8.171.
[29]	W. Schmitendorf, Differential games without pure strategy saddle-point solutions, J. Optim. Theory Appl., 18 (1976), 81-92. doi: 10.1007/BF00933796.
[30]	Q. Zhu and X. Guo, Another set of conditions for strong $n$ ($n=-1,0$) discount optimality in Markov decision processes, Stochastic Analysis and Applications, 23 (2005), 953-974. doi: 10.1080/07362990500184865.
[31]	Q. Zhu, Bias optimality and strong $n$ ($n=-1,0$) discount optimality for Markov decision processes, J. Math. Anal. Appl., 334 (2007), 576-592. doi: 10.1016/j.jmaa.2007.01.002.

show all references

References:

[1]	A. Arapostathis and V. Borkar, Uniform recurrence properties of controlled diffusions and applications to optimal control, SIAM J. Control Optim., 48 (2010), 4181-4223. doi: 10.1137/090762464.
[2]	A. Arapostathis, M. Ghosh and V. Borkar, Ergodic Control of Diffusion Processes, Vol. 143, Encyclopedia of Mathematics and its Applications, Cambridge University Press, 2012.
[3]	A. Arapostathis, V. Borkar and K. Surech, Relative value iteration for stochastic differential games, arXiv:1210.8188v2, Advances in Dynamic Games, 13 (2013), 3-27. doi: 10.1007/978-3-319-02690-9_1.
[4]	M. Bardi, Explicit solutions of some linear-quadratic mean field games. Networks and heterogeneous media, American Institute of Mathematical Sciences, 7 (2012), 243-261. doi: 10.3934/nhm.2012.7.243.
[5]	V. Borkar and M. Ghosh, Stochastic differential games: Occupation measure based approach, J. Optim. Theory Appl., 73 (1992), 359-385. Correction: 88 (1996), 251-252. doi: 10.1007/BF00940187.
[6]	R. Cavazos-Cadena and J. B. Lasserre, Strong 1-optimal stationary policies in denumerable Markov decision processes, Syst. Control Lett., 11 (1988), 65-71. doi: 10.1016/0167-6911(88)90113-2.
[7]	B. Escobedo-Trujillo, D. López-Barrientos and O. Hernández-Lerma, Bias and overtaking equilibria for zero-sum stochastic differential games, J. Optim. Theory Appl., 153 (2012), 662-687. doi: 10.1007/s10957-011-9974-4.
[8]	B. Escobedo-Trujillo and J. López-Barrientos, Nonzero-sum stochastic differential games with additive structure and average payoffs, Journal of Dynamics and Games, 1 (2014), 555-578. doi: 10.3934/jdg.2014.1.555.
[9]	K. Fan, Fixed-point and minimax theorems in locally convex linear spaces, Proc. N.A.S.U.S.A., 38 (1952), 121-126. doi: 10.1073/pnas.38.2.121.
[10]	A. Friedman, Stochastic Differential Equations and Applications, Vol. 1, Academic Press, New York, 1975.
[11]	J. Flynn, On optimality criteria for dynamic programs with long finite horizons, J. Math. Anal. Appl., 76 (1980), 202-208. doi: 10.1016/0022-247X(80)90072-4.
[12]	M. Ghosh, A. Arapostathis and S. Marcus, Ergodic control of switching diffusions, SIAM J. Control Optim., 35 (1997), 1952-1988. doi: 10.1137/S0363012996299302.
[13]	O. Hernández-Lerma and O. Vega-Amaya, Infinite-horizon Markov control processes with undiscounted cost criteria: from average to overtaking optimality, Appl. Math. (Warsaw), 25 (1998), 153-178.
[14]	O. Hernández-Lerma and J. Lasserre, Further Topics on Discrete-Time Markov Control Processes, Springer, New York, 1999. doi: 10.1007/978-1-4612-0561-6.
[15]	N. Hilgert and O. Hernández-Lerma, Bias optimality versus strong 0-discount optimality in Markov control processes with unbounded costs, Acta Applicandae Mathematicae, 77 (2003), 215-235. doi: 10.1023/A:1024996308133.
[16]	H. Jasso-Fuentes and O. Hernández-Lerma, Characterizations of overtaking optimality for controlled diffusion processes, Appl. Math. Optim., 57 (2008), 349-369. doi: 10.1007/s00245-007-9025-6.
[17]	H. Jasso-Fuentes and O. Hernández-Lerma, Ergodic control, bias, and sensitive discount optimality for Markov diffusion processes, Stochatic Analysis and Applications, 27 (2009), 363-385. doi: 10.1080/07362990802679034.
[18]	H. Jasso-Fuentes, J. López-Barrientos and B. Escobedo-Trujilo, Infinite horizon nonzero-sum stochastic differential games with additive structure, IMA J. Math. Control Inform. doi: 10.1093/imamci/dnv045, (2015).
[19]	S. Meyn and R. Tweedie, Stability of Markovian processes. III. Foster-Lyapunov criteria for continuous-time precesses, Adv. Appl. Prob., 25 (1993), 518-548. doi: 10.2307/1427522.
[20]	H. Morimoto and M. Ohashi, On linear stochastic differential games with average cost criterions, J. Optim. Theory Appl., 64 (1990), 127-140. doi: 10.1007/BF00940027.
[21]	A. Nowak, Sensitive equilibria for ergodic stochastic games with countable state spaces, Math. Meth. Oper. Res., 50 (1999), 65-76.
[22]	A. Nowak, Optimal strategies in a class of zero-sum ergodic stochastic games, Math. Meth. Oper. Res., 50 (1999), 399-419. doi: 10.1007/s001860050078.
[23]	A. Nowak, Remark on sensitive equilibria in stochastic games with additive reward and transition structure, Math. Meth. Oper. Res., 64 (2006), 481-494. doi: 10.1007/s00186-006-0090-4.
[24]	T. Prieto-Rumeau and O. Hernández-Lerma, Bias and overtaking equilibria for zero-sum continuous-time Markov games, Math. Meth. Oper. Res., 61 (2005), 437-454. doi: 10.1007/s001860400392.
[25]	T. Prieto-Rumeau and O. Hernández-Lerma, The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains, Math. Meth. Oper. Res., 61 (2005), 123-145. doi: 10.1007/s001860400393.
[26]	M. Puterman, Sensitive discount optimality in controlled one-dimensional diffusions, Annals of Probability, 2 (1974), 408-419. doi: 10.1214/aop/1176996656.
[27]	W. Qingda and C. Xian, Strong average optimality criterion for continuos-time Markov decision processes, Kybernetika, 50 (2014), 950-977.
[28]	M. Sion, On general minimax theorems, Pacific J. Math., 8 (1958), 171-176. doi: 10.2140/pjm.1958.8.171.
[29]	W. Schmitendorf, Differential games without pure strategy saddle-point solutions, J. Optim. Theory Appl., 18 (1976), 81-92. doi: 10.1007/BF00933796.
[30]	Q. Zhu and X. Guo, Another set of conditions for strong $n$ ($n=-1,0$) discount optimality in Markov decision processes, Stochastic Analysis and Applications, 23 (2005), 953-974. doi: 10.1080/07362990500184865.
[31]	Q. Zhu, Bias optimality and strong $n$ ($n=-1,0$) discount optimality for Markov decision processes, J. Math. Anal. Appl., 334 (2007), 576-592. doi: 10.1016/j.jmaa.2007.01.002.

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