Abstract
The paper deals with the ergodicity of deterministic zero-sum differential games with long-time-average cost. Some new sufficient conditions are given, as well as a class of games that are not ergodic. In particular, we settle the issue of ergodicity for the simple games whose associated Isaacs equation is a convex-concave eikonal equation.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
O. Alvarez and M. Bardi, Viscosity solutions methods for singular perturbations in deterministic and stochastic control, SIAM J. Control Optim. 40 (2001), 1159–1188.
O. Alvarez and M. Bardi, Singular perturbations of degenerate parabolic PDEs: a general convergence result, Arch. Rational Mech. Anal. 170 (2003), 17–61.
O. Alvarez and M. Bardi, Ergodic problems in differential games, in “Advances in Dynamic Game Theory”, S. Jorgensen, M. Quincampoix, and T.L. Vincent, eds., pp. 131–152, Ann. Internat. Soc. Dynam. Games, vol. 9, Birkhäuser, Boston, 2007.
O. Alvarez and M. Bardi, Ergodicity, stabilization, and singular perturbations of Bellman-Isaacs equations, Memoirs American Math. Soc., to appear.
O. Alvarez, M. Bardi, and C. Marchi, Multiscale problems and homogenization for second-order Hamilton-Jacobi equations, J. Differential Equations 243 (2007), 349–387.
M. Arisawa, Ergodic problem for the Hamilton-Jacobi-Bellman equation II, Ann. Inst. H. Poincaré Anal. Non Linéaire 15 (1998), 1–24.
M. Arisawa and P.-L. Lions, On ergodic stochastic control, Comm. Partial Diff. Eq. 23 (1998), 2187–2217.
Z. Artstein and V. Gaitsgory, The value function of singularly perturbed control systems, Appl. Math. Optim. 41 (2000), 425–445.
M. Bardi and I. Capuzzo-Dolcetta, Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations, Birkhäuser, Boston, 1997.
M. Bardi and A. Cesaroni, Almost sure properties of controlled diffusions and worst case properties of deterministic systems, ESAIM Control Optim. Calc. Var. 14 (2008), 343–355.
M. Bardi and P. Goatin, Invariant sets for controlled degenerate diffusions: a viscosity solutions approach, in “Stochastic Analysis, Control, Optimization and Applications: A Volume in Honor of W.H. Fleming”, W.M. McEneaney, G.G. Yin, and Q. Zhang, eds., pp. 191–208, Birkhäuser, Boston, 1999.
M. Bardi and P. Soravia, Hamilton-Jacobi equations with singular boundary conditions on a free boundary and applications to differential games. Trans. Amer. Math. Soc. 325 (1991), 205–229.
T. Başar and P. Bernhard, H ∞-optimal control and related minimax design problems. A dynamic game approach, 2nd edition, Birkhäuser, Boston, 1995.
A. Bensoussan, Perturbation methods in optimal control, Wiley/Gauthiers-Villars, Chichester, 1988.
P. Cardaliaguet, A differential game with two players and one target, SIAM J. Control Optim. 34 (1996), 1441–1460.
D.A. Carlson and A.B. Haurie, A turnpike theory for infinite horizon openloop differential games with decoupled controls, in “New Trends in Dynamic Games and Applications”, G.J. Olsder, ed., pp.353–376, Ann. Internat. Soc. Dynam. Games, vol. 3, Birkhäuser Boston, 1995.
D.A. Carlson, A.B. Haurie, and A. Leizarowitz, Infinite horizon optimal control: Deterministic and stochastic systems, Springer-Verlag, Berlin, 1991.
R.J. Elliott and N.J. Kalton, The existence of value in differential games, Memoirs American Math. Soc., vol. 126. American Mathematical Society, Providence, RI, 1972.
L. Evans, Periodic homogenisation of certain fully nonlinear partial differential equations, Proc. Roy. Soc. Edinburgh Sect. A 120 (1992), 245–265.
L. Evans and P.E. Souganidis, Differential games and representation formulas for solutions of Hamilton-Jacobi-Isaacs equations, Indiana Univ. Math. J. 33 (1984), 773–797.
W.H. Fleming and W.M. McEneaney, Risk-sensitive control on an infinite time horizon, SIAM J. Control Optim. 33 (1995), 1881–1915.
R.A. Freeman and P.V. Kokotovic, Robust nonlinear control design. Statespace and Lyapunov techniques, Birkäuser, Boston, 1996.
V. Gaitsgory, Limit Hamilton-Jacobi-Isaacs equations for singularly perturbed zero-sum differential games, J. Math. Anal. Appl. 202 (1996), 862–899.
M.K. Ghosh and K.S.M. Rao, Differential Games with Ergodic Payoff SIAM J. Control Optim. 43 (2005), 2020–2035.
L. Grüne, On the relation between discounted and average optimal value functions, J. Diff. Eq. 148 (1998), 65–99.
Y. Kabanov and S. Pergamenshchikov, Two-scale stochastic systems. Asymptotic analysis and control, Springer-Verlag, Berlin, 2003.
P.V. Kokotović, H.K. Khalil, and J. O'Reilly, Singular perturbation methods in control: analysis and design, Academic Press, London, 1986.
H.J. Kushner, Weak convergence methods and singularly perturbed stochastic control and filtering problems, Birkhäuser, Boston, 1990.
H.J. Kushner, Numerical approximations for stochastic differential games: the ergodic case, SIAM J. Control Optim. 42 (2004), 1911–1933.
P.-L. Lions, Neumann type boundary conditions for Hamilton-Jacobi equations, Duke Math. J. 52 (1985), 793–820.
P.-L. Lions, G. Papanicolaou, and S.R.S. Varadhan, Homogenization of Hamilton-Jacobi equations, Unpublished, 1986.
M. Quincampoix and F. Watbled, Averaging method for discontinuous Mayer's problem of singularly perturbed control systems, Nonlinear Anal. 54 (2003), 819–837.
P. Soravia, Pursuit-evasion problems and viscosity solutions of Isaacs equations, SIAM J. Control Optim. 31 (1993), 604–623.
P. Soravia, Stability of dynamical systems with competitive controls: the degenerate case, J. Math. Anal. Appl. 191 (1995), 428–449.
S. Sorin, New approaches and recent advances in two-person zero-sum repeated games, in “Advances in Dynamic Games”, A.S. Nowak and K. Szajowski, eds., pp. 67–93, Ann. Internat. Soc. Dynam. Games, vol. 7, Birkhäuser, Boston, 2005.
N.N. Subbotina, Asymptotics for singularly perturbed differential games, in “Game Theory and Applications”, vol. VII, pp. 175–196, Nova Science Publishers, Huntington, NY, 2001.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2009 Birkhäuser Boston
About this chapter
Cite this chapter
Bardi, M. (2009). On Differential Games with Long-Time-Average Cost. In: Pourtallier, O., Gaitsgory, V., Bernhard, P. (eds) Advances in Dynamic Games and Their Applications. Annals of the International Society of Dynamic Games, vol 10. Birkhäuser Boston. https://doi.org/10.1007/978-0-8176-4834-3_1
Download citation
DOI: https://doi.org/10.1007/978-0-8176-4834-3_1
Published:
Publisher Name: Birkhäuser Boston
Print ISBN: 978-0-8176-4833-6
Online ISBN: 978-0-8176-4834-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)