arXiv subjects

Jérôme Renault

Publications and source records attributed to Jérôme Renault.

20 records · Page 2Linked to original sources

arXiv2009

Uniform value in Dynamic Programming

We consider dynamic programming problems with a large time horizon, and give sufficient conditions for the existence of the uniform value. As a consequence, we obtain an existence result when the state space is precompact, payoffs are uniformly continuous and the transition correspondence is non expansive. In the same spirit, we give an existence result for the limit value. We also apply our results to Markov decision processes and obtain a few generalizations of existing results.

math.OC↗

arXiv2009

The value of Repeated Games with an informed controller

We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform value, generalizing several results of the literature. A preliminary existence result is obtained for a certain class of stochastic games played with pure strategies.

math.OC↗