On Discrete-Time Approximations to Infinite Horizon Differential Games
share
In this paper we study a discrete-time semidiscretization 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 approximate the value function of the differential game. Furthermore, the discrete-time Nash equilibrium is an ϵ-Nash equilibrium for the continuous-time differential game.
READ FULL TEXT