Zero-sum stochastic games with stopping and control |
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| Authors: | Mrinal K Ghosh KS Mallikarjuna Rao |
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| Institution: | a Department of Mathematics, Indian Institute of Science, Bangalore-560 012, India
b TIFR Centre, IISc Campus, P.B. 1234, Bangalore-560 012, India |
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| Abstract: | We study a zero-sum stochastic game where each player uses both control and stopping times. Under certain conditions we establish the existence of a saddle point equilibrium, and show that the value function of the game is the unique solution of certain dynamic programming inequalities with bilateral constraints. |
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| Keywords: | Stochastic game Strategy Stopping time Value Saddle point equilibrium |
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