Turnpike properties for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866918139370930176 |
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| author | Li, Xun Wu, Fan Zhang, Xin |
| author_facet | Li, Xun Wu, Fan Zhang, Xin |
| contents | This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the turnpike property of the optimal triple. By verifying the convergence of the associated coupled differential Riccati equations (CDREs) along with their convergence rate, we show that, for a sufficiently large time horizon, the equilibrium strategy in the finite-horizon problem can be closely approximated by that of the infinite-horizon problem. Furthermore, this study enhances and extends existing results concerning zero-sum SLQ differential games over both finite and infinite horizons. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_09358 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Turnpike properties for zero-sum stochastic linear quadratic differential games of Markovian regime switching system Li, Xun Wu, Fan Zhang, Xin Optimization and Control This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the turnpike property of the optimal triple. By verifying the convergence of the associated coupled differential Riccati equations (CDREs) along with their convergence rate, we show that, for a sufficiently large time horizon, the equilibrium strategy in the finite-horizon problem can be closely approximated by that of the infinite-horizon problem. Furthermore, this study enhances and extends existing results concerning zero-sum SLQ differential games over both finite and infinite horizons. |
| title | Turnpike properties for zero-sum stochastic linear quadratic differential games of Markovian regime switching system |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2509.09358 |