Optimal service control against worst case admission policies: A multichained stochastic game

In this paper we will consider two-person zero-sum games and derive a general approach for solving them. We apply this approach to a queueing problem. In section 1 we will introduce the model and formulate the Key-theorem. In section 2 we develop the theory that we will use in section 3 to prove the Key-theorem. This includes a general and useful result in Lemma 2.1 on the sufficiency of stationary policies.