Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games

Details Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games

2006-03-25

arxiv.org/abs/math/0603600v1

Mathematics

Optimization and Control

6 pages

Scientific paper

This work establishes sufficient conditions for existence of saddle points in
discrete Markov games. The result reveals the relation between dynamic games
and static games using dynamic programming equations. This result enables us to
prove existence of saddle points of non-separable stochastic differential games
of regime-switching diffusions under appropriate conditions.

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