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Staudigl, Mathias
Steg, Jan-Henrik
Year of Publication: 
Series/Report no.: 
Center for Mathematical Economics Working Papers 525
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.
continuous-time game theory
stochastic optimal control
weak convergence
Document Type: 
Working Paper
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