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Infinite Horizon Dynamic Games: A New Approach via Information Updating

Author

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  • David Yeung

    (Center of Game Theory, St. Petersburg State University, St. Petersburg 198504, Russia2SRS Consortium for Advanced Study in Cooperative Dynamic Games, Hong Kong Shue Yan University, Hong Kong)

  • Ovanes Petrosian

    (Faculty of Applied Mathematics and Control Process, St. Petersburg State University, St. Petersburg 198504, Russia4St. Petersburg School of Economics and Management, National Research University Higher School of Economics, Moscow 101000, Russia)

Abstract

This paper formulates a new approach to analyze infinite horizon dynamic games with uncertainties and unknowns in the players’ future payoff structures. In many game situations, the game horizon would last for an indefinitely long period and one has to consider them as infinite horizon games. Existing infinite horizon dynamic games often rely on the assumption of time-invariant game structures for the derivation of equilibrium solutions. However, many events in the considerably far future are intrinsically unknown. In this paper, information about the players’ future payoffs will be revealed as the game proceeds. Making use of the newly obtained information, the players revise their strategies accordingly, and the process will continue indefinitely. This new approach for the analysis of infinite horizon dynamic games via information updating provides a more realistic and practical alternative to the study of infinite horizon dynamic games.

Suggested Citation

  • David Yeung & Ovanes Petrosian, 2017. "Infinite Horizon Dynamic Games: A New Approach via Information Updating," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-23, December.
    • Handle: RePEc:wsi:igtrxx:v:19:y:2017:i:04:n:s0219198917500268
    DOI: 10.1142/S0219198917500268
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    References listed on IDEAS

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    Cited by:

    1. Ovanes Petrosian & Lihong Shi & Yin Li & Hongwei Gao, 2019. "Moving Information Horizon Approach for Dynamic Game Models," Mathematics, MDPI, vol. 7(12), pages 1-31, December.

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