Técnicas de Descomposición-Agregación en el Tratamiento de la Inecuación Bilátera de Isaacs

Abstract

We study in this paper some numerical techniques to solve Isaacs's inequality associated to games with stopping times. We have developed two ad-hoc algorithms that converge in a finite number of steps. The task of numerical computation in iteelf is simplified through the use of the special structure of the Markov chain associated to the problem.