Continuous-Time Stochastic Games of Fixed Duration

Yehuda Levy

Dynamic Games and Applications, 2013, vol. 3, issue 2, 279-312

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

Keywords: Stochastic game; Markov game; Continuous-time; Markovian equilibrium (search for similar items in EconPapers)
Date: 2013
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Working Paper: Continuous-Time Stochastic Games of Fixed Duration (2012)
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DOI: 10.1007/s13235-012-0067-2

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