SIAM Journal on Control and Optimization, Vol.50, No.3, 1573-1596, 2012
A CONTINUOUS TIME APPROACH FOR THE ASYMPTOTIC VALUE IN TWO-PERSON ZERO-SUM REPEATED GAMES
We consider the asymptotic value of two person zero-sum repeated games with general evaluations of the stream of stage payoffs. We show existence for incomplete information games, splitting games, and absorbing games. The technique of proof consists of embedding the discrete repeated game into a continuous time game and to use viscosity solution tools.
Keywords:stochastic games;repeated games;incomplete information;asymptotic value;comparison principle;variational inequalities;viscosity solutions;continuous time