Extremal shift rule for continuous-time zero-sum Markov games

Abstract

In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. The limiting game as the number of particles tends to infinity is a zero-sum differential game. Krasovskii--Subbotin extremal shift provides the optimal strategy in the limiting game. The main result of the paper is the near optimality of the Krasovskii--Subbotin extremal shift rule for the original Markov game.