Nonzero-sum semi-Markov games with the expected average payoffs

Nonzero-sum ergodic semi-Markov games with Borel state spaces are studied. An equilibrium theorem is proved in the class of correlated stationary strategies using public randomization. Under some additivity assumption concerning the transition probabilities stationary Nash equilibria are also shown to exist.Received: October 2004 / Revised: January 2005     

Partially Observable Semi-Markov Games with Discounted Payoff

Abstract

We study partially observable semi-Markov game with discounted payoff on a Borel state space. We study both zero sum and nonzero sum games. We establish saddle point equilibrium and Nash equilibrium for zero sum and nonzero sum cases, respectively.     

Perfect information two-person zero-sum markov games with imprecise transition probabilities

Based on an extension of the controlled Markov set-chain model by Kurano et al. (in J Appl Prob 35:293–302, 1998) into competitive two-player game setting, we provide a model of perfect information two-person zero-sum Markov games with imprecise transition probabilities. We define an equilibrium value for the games formulated with the model in terms of a partial order and then establish the existence of an equilibrium policy pair that achieves the equilibrium value. We further analyze finite-approximation error bounds obtained from a value iteration-type algorithm and discuss some applications of the model.     

Nonzero-sum games for continuous-time Markov chains with unbounded transition and average payoff rates

This paper attempts to study two-person nonzero-sum games for denumerable continuous-time Markov chains determined by transition rates,with an expected average criterion.The transition rates are allowed to be unbounded,and the payoff functions may be unbounded from above and from below.We give suitable conditions under which the existence of a Nash equilibrium is ensured.More precisely,using the socalled "vanishing discount" approach,a Nash equilibrium for the average criterion is obtained as a limit point of a sequence of equilibrium strategies for the discounted criterion as the discount factors tend to zero.Our results are illustrated with a birth-and-death game.     

Subgame-perfection in free transition games

We prove the existence of a subgame-perfect ε-equilibrium, for every ε > 0, in a class of multi-player games with perfect information, which we call free transition games. The novelty is that a non-trivial class of perfect information games is solved for subgame-perfection, with multiple non-terminating actions, in which the payoff structure is generally not (upper or lower) semi-continuous. Due to the lack of semi-continuity, there is no general rule of comparison between the payoffs that a player can obtain by deviating a large but finite number of times or, respectively, infinitely many times. We introduce new techniques to overcome this difficulty.     

Zero-sum stochastic games with stopping and control

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.     

Denumerable state stochastic games with limiting average payoff

We study stochastic games with countable state space, compact action spaces, and limiting average payoff. ForN-person games, the existence of an equilibrium in stationary strategies is established under a certain Liapunov stability condition. For two-person zero-sum games, the existence of a value and optimal strategies for both players are established under the same stability condition.The authors wish to thank Prof. T. Parthasarathy for pointing out an error in an earlier version of this paper. M. K. Ghosh wishes to thank Prof. A. Arapostathis and Prof. S. I. Marcus for their hospitality and support.     

Continuous-time constrained stochastic games with average criteria

In this paper, we consider the continuous-time nonzero-sum stochastic games under the constrained average criteria. The state space is denumerable and the action space of each player is a general Polish space. The transition rates, reward and cost functions are allowed to be unbounded. The main hypotheses in this paper include the standard drift conditions, continuity-compactness condition and some ergodicity assumptions. By applying the vanishing discount method, we obtain the existence of stationary constrained average Nash equilibria.     

Generic uniqueness of the bias vector of finite zero-sum stochastic games with perfect information

Mean-payoff zero-sum stochastic games can be studied by means of a nonlinear spectral problem. When the state space is finite, the latter consists in finding an eigenpair $(u,\lambda )$ solution of $T(u)=\lambda e+u$, where $T:{\mathbb{R}}^n\to {\mathbb{R}}^n$ is the Shapley (or dynamic programming) operator, λ is a scalar, e is the unit vector, and $u\in {\mathbb{R}}^n$. The scalar λ yields the mean payoff per time unit, and the vector u, called bias, allows one to determine optimal stationary strategies in the mean-payoff game. The existence of the eigenpair $(u,\lambda )$ is generally related to ergodicity conditions. A basic issue is to understand for which classes of games the bias vector is unique (up to an additive constant). In this paper, we consider perfect-information zero-sum stochastic games with finite state and action spaces, thinking of the transition payments as variable parameters, transition probabilities being fixed. We show that the bias vector, thought of as a function of the transition payments, is generically unique (up to an additive constant). The proof uses techniques of nonlinear Perron–Frobenius theory. As an application of our results, we obtain an explicit perturbation scheme allowing one to solve degenerate instances of stochastic games by policy iteration.     

Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games

In this paper we deal with the problem of existence of a smooth solution of the Hamilton–Jacobi–Bellman–Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games. We consider the problem in unbounded domains either in the case of continuous generators or for discontinuous ones. In each case we show the existence of a smooth solution of the system. As a consequence, we show that the game has smooth Nash payoffs which are given by means of the solution of the HJBI system and the stochastic process which governs the dynamic of the controlled system.     

Saddle-point equilibrium sequence in one class of singular infinite horizon zero-sum linear-quadratic differential games with state delays

ABSTRACT

We consider an infinite horizon zero-sum linear-quadratic differential game with state delays in the dynamics. The cost functional of this game does not contain a control cost of the minimizing player (the minimizer), meaning that the considered game is singular. For this game, definitions of the saddle-point equilibrium and the game value are proposed. These saddle-point equilibrium and game value are obtained by a regularization of the singular game. Namely, we associate this game with a new differential game for the same equation of dynamics. The cost functional in the new game is the sum of the original cost functional and an infinite horizon integral of the square of the minimizer's control with a small positive weight coefficient. This new game is regular, and it is a cheap control game. An asymptotic analysis of this cheap control game is carried out. Using this asymptotic analysis, the existence of the saddle-point equilibrium and the value of the original game is established, and their expressions are derived. Illustrative example is presented.     

Existence and comparison results for fixed points of multifunctions with applications to normal-form games

In this paper we apply generalized iteration methods to prove comparison results which show how fixed points of a multifunction can be bounded by least and greatest fixed points of single-valued functions. As an application we prove existence and comparison results for fixed points of multifunctions. These results are applied to normal-form games, by proving existence and comparison results for pure and mixed Nash equilibria and their utilities.