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

Discount-sensitive equilibria in zero-sum stochastic differential games

1. 

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

Received  April 2015 Revised  November 2015 Published  March 2016

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.
Citation: Beatris A. Escobedo-Trujillo. Discount-sensitive equilibria in zero-sum stochastic differential games. Journal of Dynamics & 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. doi: 10.1137/090762464.

[2]

A. Arapostathis, M. Ghosh and V. Borkar, Ergodic Control of Diffusion Processes,, Vol. 143, (2012).

[3]

A. Arapostathis, V. Borkar and K. Surech, Relative value iteration for stochastic differential games,, , 13 (2013), 3. 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. 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. 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. 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. 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. 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. doi: 10.1073/pnas.38.2.121.

[10]

A. Friedman, Stochastic Differential Equations and Applications,, Vol. 1, (1975).

[11]

J. Flynn, On optimality criteria for dynamic programs with long finite horizons,, J. Math. Anal. Appl., 76 (1980), 202. 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. 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.

[14]

O. Hernández-Lerma and J. Lasserre, Further Topics on Discrete-Time Markov Control Processes,, Springer, (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. 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. 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. 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. 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. doi: 10.1007/BF00940027.

[21]

A. Nowak, Sensitive equilibria for ergodic stochastic games with countable state spaces,, Math. Meth. Oper. Res., 50 (1999), 65.

[22]

A. Nowak, Optimal strategies in a class of zero-sum ergodic stochastic games,, Math. Meth. Oper. Res., 50 (1999), 399. 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. 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. 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. doi: 10.1007/s001860400393.

[26]

M. Puterman, Sensitive discount optimality in controlled one-dimensional diffusions,, Annals of Probability, 2 (1974), 408. 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.

[28]

M. Sion, On general minimax theorems,, Pacific J. Math., 8 (1958), 171. 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. 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. 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. 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. doi: 10.1137/090762464.

[2]

A. Arapostathis, M. Ghosh and V. Borkar, Ergodic Control of Diffusion Processes,, Vol. 143, (2012).

[3]

A. Arapostathis, V. Borkar and K. Surech, Relative value iteration for stochastic differential games,, , 13 (2013), 3. 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. 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. 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. 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. 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. 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. doi: 10.1073/pnas.38.2.121.

[10]

A. Friedman, Stochastic Differential Equations and Applications,, Vol. 1, (1975).

[11]

J. Flynn, On optimality criteria for dynamic programs with long finite horizons,, J. Math. Anal. Appl., 76 (1980), 202. 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. 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.

[14]

O. Hernández-Lerma and J. Lasserre, Further Topics on Discrete-Time Markov Control Processes,, Springer, (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. 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. 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. 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. 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. doi: 10.1007/BF00940027.

[21]

A. Nowak, Sensitive equilibria for ergodic stochastic games with countable state spaces,, Math. Meth. Oper. Res., 50 (1999), 65.

[22]

A. Nowak, Optimal strategies in a class of zero-sum ergodic stochastic games,, Math. Meth. Oper. Res., 50 (1999), 399. 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. 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. 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. doi: 10.1007/s001860400393.

[26]

M. Puterman, Sensitive discount optimality in controlled one-dimensional diffusions,, Annals of Probability, 2 (1974), 408. 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.

[28]

M. Sion, On general minimax theorems,, Pacific J. Math., 8 (1958), 171. 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. 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. 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. doi: 10.1016/j.jmaa.2007.01.002.

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