Zero-sum continuous-time Markov pure jump game over a fixed duration

Xin Guo; Yi Zhang

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arXiv · 1611.03913

Zero-sum continuous-time Markov pure jump game over a fixed duration

Xin Guo·Yi Zhang

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Abstract

This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward rate. Under some regularity conditions, we show that the game has a value, and both of the players have their optimal policies.

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Xin Guo, Yi Zhang. 2017-03-30. Zero-sum continuous-time Markov pure jump game over a fixed duration. https://arxiv.org/abs/1611.03913

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