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Extremal Shift Rule for Continuous-Time Zero-Sum Markov Games

Author

Listed:
  • Yurii Averboukh

    (Krasovskii Institute of Mathematics and Mechanics UrB RAS
    Ural Federal University)

Abstract

In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. This Markov game converges to a zero-sum differential game when the number of particles tends to infinity. Krasovskii–Subbotin extremal shift provides the optimal strategy in the limiting game. The main result of the paper is the near optimality of the Krasovskii–Subbotin extremal shift rule for the original Markov game.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:dyngam:v:7:y:2017:i:1:d:10.1007_s13235-015-0173-z
    DOI: 10.1007/s13235-015-0173-z
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    References listed on IDEAS

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    1. Neyman, Abraham, 2017. "Continuous-time stochastic games," Games and Economic Behavior, Elsevier, vol. 104(C), pages 92-130.
    2. Yehuda Levy, 2013. "Continuous-Time Stochastic Games of Fixed Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 279-312, June.
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