Zero-Sum Continuous-Time Markov Games with One-Side Stopping  

作　　者：Yurii Averboukh 

机构地区：[1]Laboratory of Stochastic Analysis and Its Applications,National Research University Higher School of Economics(HSE),Moscow,109028,Russia [2]Department of Differential Equations,Krasovskii Institute of Mathematics and Mechanics,Yekaterinburg,620108,Russia

出　　处：《Journal of the Operations Research Society of China》2024年第1期169-187,共19页中国运筹学会会刊（英文）

基　　金：The article was prepared within the framework of the HSE University Basic Research Program in 2023。

摘　　要：The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates,while only one player can choose a stopping time.The dynamic programming principle reduces this problem to a system of ODEs with unilateral constraints.This system plays the role of the Bellman equation.We show that its solution provides the optimal strategies of the players.Additionally,the existence and uniqueness theorem for the deduced system of ODEs with unilateral constraints is derived.

关 键 词：Continuous-time Markov games Dynamic programming Verification theorem Stopping time 

分 类 号：O17[理学—数学]