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Continuous-Time Stochastic Games of Fixed Duration

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  • Yehuda Levy

Abstract

We study nonzero-sum continuous-time stochastic games, also known as continuous-time Markov games, of fixed duration. We concentrate on Markovian strategies. We show by way of example that equilibria need not exist in Markovian strategies, but they always exist in Markovian public-signal correlated strategies. To do so, we develop criteria for a strategy profile to be an equilibrium via differential inclusions, both directly and also by modeling continuous-time stochastic as differential games and using the Hamilton–Jacobi–Bellman equations. We also give an interpretation of equilibria in mixed strategies in continuous time and show that approximate equilibria always exist. Copyright Springer Science+Business Media New York 2013

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  • Yehuda Levy, 2013. "Continuous-Time Stochastic Games of Fixed Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 279-312, June.
    • Handle: RePEc:spr:dyngam:v:3:y:2013:i:2:p:279-312
    DOI: 10.1007/s13235-012-0067-2
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    7. Yehuda (John) Levy, 2012. "A Discounted Stochastic Game with No Stationary Equilibria: The Case of Absolutely Continuous Transitions," Discussion Paper Series dp612, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    8. A. S. Nowak & T. E. S. Raghavan, 1992. "Existence of Stationary Correlated Equilibria with Symmetric Information for Discounted Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 17(3), pages 519-526, August.
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    Cited by:

    1. Abraham Neyman, 2013. "Stochastic Games with Short-Stage Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 236-278, June.
    2. Neyman, Abraham, 2017. "Continuous-time stochastic games," Games and Economic Behavior, Elsevier, vol. 104(C), pages 92-130.
    3. Yurii Averboukh, 2017. "Extremal Shift Rule for Continuous-Time Zero-Sum Markov Games," Dynamic Games and Applications, Springer, vol. 7(1), pages 1-20, March.
    4. Leslie, David S. & Perkins, Steven & Xu, Zibo, 2020. "Best-response dynamics in zero-sum stochastic games," Journal of Economic Theory, Elsevier, vol. 189(C).
    5. Yehuda John Levy, 2021. "An Update on Continuous-Time Stochastic Games of Fixed Duration," Dynamic Games and Applications, Springer, vol. 11(2), pages 418-432, June.

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