A Continuous Time Approach for the Asymptotic Value in Two-Person Zero-Sum Repeated Games

Pierre Cardaliaguet (), Rida Laraki () and Sylvain Sorin
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Pierre Cardaliaguet: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Rida Laraki: X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris

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Abstract: We consider the asymptotic value of two person zero sum repeated games with general evaluations of the stream of stage payoffs. We show existence for incomplete information games, splitting games and absorbing games. The technique of proof consists in embedding the discrete repeated game into a continuous time one and to use viscosity solution tools.

Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-00609476v1
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Citations: View citations in EconPapers (17)

Published in SIAM Journal on Control and Optimization, 2012, 50, pp.1573-1596. ⟨10.1137/110839473⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00609476

DOI: 10.1137/110839473

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