Computational and Applied Mathematics seminar

Abstract: Stochastic Differential Games (SDG) are stochastic control problems, where multiple players can influence or control a joint SDE with possibly different objectives. Fictitious Play (FP) is a classic Piccard type approximation technique from game theory that has been applied in the literature also to SDG. In this talk I introduce SDG, the synthesis through dynamic programing and systems of PDE and FBSDE, and present ongoing work on theoretical convergence properties of FP for SDG. A numerical example confirms experimentally the established geometric convergence. Joint work with Kristoffer Andersson (Univ. of Verona) and Per Ljung (Saab AB & the Dept. of Electrical Engineering, Chalmers).