SIAM Journal on Control and Optimization, Vol.54, No.5, 2629-2649, 2016
APPROXIMATE SOLUTIONS OF CONTINUOUS-TIME STOCHASTIC GAMES
The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a model game. The dynamics of the model game differs from the original one. The general result applied to differential games yields the approximation of the value function of the differential game by the solution of countable system of ODEs.
Keywords:continuous-time stochastic games;differential games;strategy with memory;near optimal strategies;extremal shift