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Dynamic Games and Applications Seminar

On discrete-time approximations to infinite horizon differential games


Apr 21, 2022   11:00 AM — 12:00 PM

Javier de Frutos Professor, Departamento de Matemática Aplicada, Universidad de Valladolid, Spain

Javier de Frutos

Presentation on YouTube

In this paper we study a discrete-time discretization of an infinite time horizon noncooperative N-player differential game. We prove that as the discretization time step approaches zero the discrete-time value function approximates the value function of the differential game. Furthermore, the discrete-time Nash equilibrium is an ϵ-Nash equilibrium for the continuous-time differential game. We present some numerical experiments and discuss to what extent the hypotheses are general enough to cover some common applications.
(with V. Gatón and J. Novo)

Georges Zaccour organizer
Jafar Chaab organizer
Mahsa Mahboob Ghodsi organizer


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Montréal Québec

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