Groupe d’études et de recherche en analyse des décisions

G-87-21

A Dynamic Programming Contraction Operator Approach for the Computation of Nash Equilibria in a Class of Stochastic Resource Sharing Games

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This paper deals with a class of discounted sequential games which admit of analysis through a contracting operator approach à la Denardo. These games appear quite naturally in the context of dynamic resource sharing problems. A successive approximation algorithm is used to prove existence of and to compute a Nash equilibrium defined in the class of pure strategies. A numerical illustration is also provided.

, 13 pages