Stochastic differential games: Occupation measure based approach |
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| Authors: | V S Borkar M K Ghosh |
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| Institution: | (1) Department of Electrical Engineering, Indian Institute of Science, Bangalore, India;(2) Tata Institute of Fundamental Research, Bangalore, India |
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| Abstract: | A new approach based on occupation measures is introduced for studying stochastic differential games. For two-person zero-sum games, the existence of values and optimal strategies for both players is established for various payoff criteria. ForN-person games, the existence of equilibria in Markov strategies is established for various cases. |
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| Keywords: | Occupation measure Markov strategy invariant measure Isaacs equation equilibrium |
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