COSTA, Oswaldo Luiz Do Valle; DUFOUR, François

doi:10.1007/s00245-017-9416-2

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COSTA, Oswaldo Luiz Do Valle
Universidade de São Paulo = University of São Paulo [USP]

DUFOUR, François
Quality control and dynamic reliability [CQFD]
Institut Polytechnique de Bordeaux [Bordeaux INP]
Institut de Mathématiques de Bordeaux [IMB]
Centre Inria de l'Université de Bordeaux

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Applied Mathematics and Optimization. 2018

Springer Verlag (Germany)

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This papers dealswith the zero-sum gamewith a discounted reward criterionfor piecewise deterministic Markov process (PDMPs) in general Borel spaces. Thetwo players can act on the jump rate and transition measure of the process, with thedecisions being taken just after a jump of the process. The goal of this paper is toderive conditions for the existence of min–max strategies for the infinite horizon totalexpected discounted reward function, which is composed of running and boundaryparts. The basic idea is, by using the special features of the PDMPs, to re-write theproblem via an embedded discrete-time Markov chain associated to the PDMP andre-formulate the problem as a discrete-stage zero sum game problem.< Leer menos

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Continuous-time

Discounted reward criterion

Zero sum games

General borel spaces

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Zero-Sum Discounted Reward Criterion Games for Piecewise Deterministic Markov Processes

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