Numerical solution of certain minimax problems of stochastic control

Abstract

We study the discretized version of a system of quasi-variational inequalities that arise in a problem of stochastic game theory, where the two players take discrete actions with both continuous and discrete costs for each player. We prove convergence of an algorithm for the iterative solution of the discrete quasi-variational inequalities. For certain… (More)

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Cite this paper

@article{Belbas1987NumericalSO, title={Numerical solution of certain minimax problems of stochastic control}, author={S. A. Belbas and Isaak D. Mayergoyz}, journal={26th IEEE Conference on Decision and Control}, year={1987}, volume={26}, pages={771-776} }