Bias and Overtaking Equilibria for Zero-Sum Stochastic Differential Games

Abstract

This paper deals with zero-sum stochastic differential games with long-run average payoffs. Our main objective is to give conditions for existence and characterization of bias and overtaking optimal equilibria. To this end, first we characterize the family of optimal average payoff strategies. Then, within this family, we impose suitable conditions to determine the subfamilies of bias and overtaking equilibria. A key step to obtain these facts is to show the existence of solutions to the average payoff optimality equations. This is done by the usual “vanishing discount” approach. Finally, a zero-sum game associated to a certain manufacturing process illustrates our results.

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Correspondence to Beatris Escobedo-Trujillo.

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Communicated by Negash G. Medhin.

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Escobedo-Trujillo, B., López-Barrientos, D. & Hernández-Lerma, O. Bias and Overtaking Equilibria for Zero-Sum Stochastic Differential Games. J Optim Theory Appl 153, 662–687 (2012). https://doi.org/10.1007/s10957-011-9974-4

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Keywords

  • Average (or ergodic) payoff criteria
  • Bias optimality
  • Zero-sum stochastic differential games
  • Overtaking optimality