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On the computation of value correspondences for dynamic games. (English) Zbl 1348.91061

Summary: Recursive game theory provides theoretic procedures for computing the equilibrium payoff or value sets of repeated games and the equilibrium payoff or value correspondences of dynamic games. In this paper, we propose and implement outer and inner approximation methods for equilibrium value correspondences that naturally occur in the analysis of dynamic games. The procedure utilizes set-valued step functions. We provide an application to a bilateral insurance game with storage.

MSC:

91A25 Dynamic games
91A20 Multistage and repeated games
91A80 Applications of game theory
91B30 Risk theory, insurance (MSC2010)
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