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Séminaire sur les jeux dynamiques et les applications

On discrete-time approximations to infinite horizon differential games

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24 mars 2022   11h00 — 12h00

Javier de Frutos Professeur titulaire, Departamento de Matemática Aplicada, Universidad de Valladolid, Espagne

Javier de Frutos

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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 responsable
Jafar Chaab responsable
Mahsa Mahboob Ghodsi responsable

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