23,664 research outputs found
Operator approach to values of stochastic games with varying stage duration
We study the links between the values of stochastic games with varying stage
duration , the corresponding Shapley operators and and
the solution of . Considering general non
expansive maps we establish two kinds of results, under both the discounted or
the finite length framework, that apply to the class of "exact" stochastic
games. First, for a fixed length or discount factor, the value converges as the
stage duration go to 0. Second, the asymptotic behavior of the value as the
length goes to infinity, or as the discount factor goes to 0, does not depend
on the stage duration. In addition, these properties imply the existence of the
value of the finite length or discounted continuous time game (associated to a
continuous time jointly controlled Markov process), as the limit of the value
of any time discretization with vanishing mesh.Comment: 22 pages, International Journal of Game Theory, Springer Verlag, 201
Uncertain dynamical systems: A differential game approach
A class of dynamical systems in a conflict situation is formulated and discussed, and the formulation is applied to the study of an important class of systems in the presence of uncertainty. The uncertainty is deterministic and the only assumption is that its value belongs to a known compact set. Asymptotic stability is fully discussed with application to variable structure and model reference control systems
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
We study a class of stochastic target games where one player tries to find a
strategy such that the state process almost-surely reaches a given target, no
matter which action is chosen by the opponent. Our main result is a geometric
dynamic programming principle which allows us to characterize the value
function as the viscosity solution of a non-linear partial differential
equation. Because abstract mea-surable selection arguments cannot be used in
this context, the main obstacle is the construction of measurable
almost-optimal strategies. We propose a novel approach where smooth
supersolutions are used to define almost-optimal strategies of Markovian type,
similarly as in ver-ification arguments for classical solutions of
Hamilton--Jacobi--Bellman equations. The smooth supersolutions are constructed
by an exten-sion of Krylov's method of shaken coefficients. We apply our
results to a problem of option pricing under model uncertainty with different
interest rates for borrowing and lending.Comment: To appear in MO
Differential games through viability theory : old and recent results.
This article is devoted to a survey of results for differential games obtained through Viability Theory. We recall the basic theory for differential games (obtained in the 1990s), but we also give an overview of recent advances in the following areas : games with hard constraints, stochastic differential games, and hybrid differential games. We also discuss several applications.Game theory; Differential game; viability algorithm;
A Model for Optimal Human Navigation with Stochastic Effects
We present a method for optimal path planning of human walking paths in
mountainous terrain, using a control theoretic formulation and a
Hamilton-Jacobi-Bellman equation. Previous models for human navigation were
entirely deterministic, assuming perfect knowledge of the ambient elevation
data and human walking velocity as a function of local slope of the terrain.
Our model includes a stochastic component which can account for uncertainty in
the problem, and thus includes a Hamilton-Jacobi-Bellman equation with
viscosity. We discuss the model in the presence and absence of stochastic
effects, and suggest numerical methods for simulating the model. We discuss two
different notions of an optimal path when there is uncertainty in the problem.
Finally, we compare the optimal paths suggested by the model at different
levels of uncertainty, and observe that as the size of the uncertainty tends to
zero (and thus the viscosity in the equation tends to zero), the optimal path
tends toward the deterministic optimal path
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