On discrete-time approximations to infinite horizon differential games

Thursday, April 21, 2022 11:00to12:00

Speaker: Javier de Frutos – Departamento de Matemática Aplicada, Universidad de Valladolid, Spain 

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Webinar ID: 841 3695 9888
Passcode: 120834

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)

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