Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103933
Authors: 
Staudigl, Mathias
Steg, Jan-Henrik
Year of Publication: 
2014
Series/Report no.: 
Working Papers, Center for Mathematical Economics 525
Abstract: 
Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents a family of discrete-time games which provides a consistent discrete-time approximation of the continuous-time limit game. Using probabilistic arguments, we prove that continuous-time games can be defined as the limit of a sequence of discrete-time games. Our convergence analysis reveals various intricacies of continuous-time games. First, we demonstrate the importance of correlated strategies in continuous-time. Second, we attach a precise meaning to the statement that a sequence of discrete-time games can be used to approximate a continuous-time game.
Subjects: 
continuous-time game theory
stochastic optimal control
weak convergence
Document Type: 
Working Paper

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