Publication Cover
Optimization
A Journal of Mathematical Programming and Operations Research
Volume 71, 2022 - Issue 9
114
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Constrained average stochastic games with continuous-time independent state processes

&
Pages 2571-2594 | Received 24 Dec 2019, Accepted 10 Dec 2020, Published online: 17 Jan 2021

References

  • Shapley LS. Stochastic games. Natl Acad Sci. 1953;39(10):1095–1100.
  • Altman E, Avrachenkov K, Bonneau N, et al. Constrained cost-coupled stochastic games with independent state processes. Oper Res Lett. 2008;36:160–164.
  • Filar JA, Vrieze K. Competitive Markov decision processes. New York: Springer-Verlag; 1997.
  • Liu QL, Huang XX. Discrete-time zero-sum Markov games with first passage criteria. Optimization. 2017;66:571–587.
  • Nowak AS. On stochastic games in economics. Math Methods Oper Res. 2007;66:513–530.
  • Sennott LI. Nonzero-sum stochastic games with unbounded costs: discounted and average cost cases. Z Oper Res. 1994;40:145–162.
  • Federgruen A. On N-person stochastic games with denumerable state space. Adv Appl Probab. 1978;10:452–471.
  • Guo XP, Hernández-Lerma O. Nonzero-sum games for continuous-time Markov chains with unbounded discounted payoffs. J Appl Probab. 2005;42:303–320.
  • Nowak AS. Remarks on sensitive equilibria in stochastic games with additive reward and transition structure. Math Methods Oper Res. 2006;64:481–494.
  • Wei QD, Chen X. Stochastic games for continuous-time jump processes under finite-horizon payoff criterion. Appl Math Optim. 2016;74:273–301.
  • Altman E, Shwartz A. Constrained Markov games: Nash equilibria. In: JA Filar, et al., editors. Advances in dynamic games and applications; 1996 Kanagawa. Boston (MA): Birkh a¨user; 2000. p. 213–221.(Ann Int Soc Dynam Games. Vol 5).
  • Wei QD, Chen X. Constrained stochastic games with the average payoff criteria. Oper Res Lett. 2015;43:83–88.
  • Alvarez-Mena J, Hernández-Lerma O. Existence of Nash equilibria for constrained stochastic games. Math Methods Oper Res. 2006;63:261–285.
  • Zhang WZ, Huang YH, Guo XP. Nonzero-sum constrained discrete-time Markov games: the case of unbounded costs. TOP. 2014;22:1074–1102.
  • Zhang WZ. Continuous-time constrained stochastic games under the discounted cost criteria. Appl Math Optim. 2018;77:275–296.
  • Zhang WZ, Wang BF, Chen DW. Continuous-time constrained stochastic games with average criteria. Oper Res Lett. 2018;46:109–115.
  • Wei QD. Constrained expected average stochastic games for continuous-time jump processes. Appl Math Optim. 2019. doi: 10.1007/s00245-019-09588-9.
  • Zhang WZ. Discrete-time constrained average stochastic games with independent state processes. Math. 2019;7:1089.
  • Faraci F, Raciti F. On generalized Nash equilibrium in infinite dimension: the Lagrange multipliers approach. Optimization. 2015;64(2):321–338.
  • Mastroeni G, Pappalardo M, Raciti F. Generalized Nash equilibrium problems and variational inequalities in Lebesgue spaces. Minimax Theory Appl. 2020;5(1):47–64.
  • Filar JA, Schultz TA, Thuijsman F, et al. Nonlinear programming and stationary equilibria in stochastic games. Math Programming. 1991;50:227–237.
  • Yaji VG, Bhatnagar S. Necessary and sufficient conditions for optimality in constrained general sum stochastic games. Syst Control Lett. 2015;85:8–15.
  • Singh VV, Hemachandra N. A characterization of stationary Nash equilibria of constrained stochastic games with independent state processes. Oper Res Lett. 2014;42:48–52.
  • Singh VV, Hemachandra N. A characterization of stationary Nash equilibria of single controller constrained stochastic games. Int Game Theory Rev. 2015;17:1–22.
  • Kitaev MY, Rykov VV. Controlled queueing systems. Boca Raton: CRC Press; 1995.
  • Prieto-Rumeau T, Hernández-Lerma O. Selected topics on continuous-time controlled Markov chains and Markov games. London: Imperial College Press; 2012.
  • Guo XP, Hernández-Lerma O. Continuous-time Markov decision processes. Berlin: Springer-Verlag; 2009.
  • Föllmer H, Schied A. Stochastic finance: an introduction in discrete time. Berlin: Walter de Gruyter; 2004.
  • Guo XP, Wei QD, Zhang JY. A constrained optimization problem with applications to constrained MDPs. In: D Hernández-Hernández, JA Minjárez-Sosa, editors. Optimization, control, and applications of stochastic systems; Boston: Birkhäuser; 2012. p. 125–150.
  • Sennott LI. Stochastic dynamic programming and the control of queueing systems. New York: John Wiley & Sons; 1999.
  • Fan K. Fixed-point and minimax theorems in locally convex topological linear spaces. Proc Nat Acad Sci USA. 1952;38:121–126.
  • Hernández-Lerma O, Lasserre JB. Discrete-time Markov control processes: basic optimality criteria. New York: Springer-Verlag; 1996.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.