In game theory, differential games are a group of problems related to the modeling and analysis of conflict in the context of a dynamical system. More specifically, a state variable or variables evolve over time according to a differential equation. Early analyses reflected military interests, considering two actors - the pursuer and the evader - with diametrically opposed goals. More recent analyses have reflected engineering or economic considerations.
Connection to optimal control
Differential games are related closely with optimal control problems. In an optimal control problem there is single control and a single criterion to be optimized; differential game theory generalizes this to two controls and two criteria, one for each player. Each player attempts to control the state of the system so as to achieve its goal; the system responds to the inputs of all players.
Differential games have been applied to economics. Recent developments include adding stochasticity to differential games and the derivation of the stochastic feedback Nash equilibrium (SFNE). A recent example is the stochastic differential game of capitalism by Leong and Huang (2010).
- Rufus Isaacs, Differential Games, Dover, 1999. ISBN 0-486-40682-2 Google Books
- Leong, C. K.; Huang, W. (2010). "A stochastic differential game of capitalism". Journal of Mathematical Economics 46 (4): 552. doi:10.1016/j.jmateco.2010.03.007.
- Meir Pachter: Simple-motion pursuit-evasion differential games, 2002
Textbooks and general references
- Dockner, Engelbert; Jorgensen, Steffen; Long, Ngo Van; Sorger, Gerhard (2001), Differential Games in Economics and Management Science, Cambridge University Press, ISBN 978-0-521-63732-9
- Petrosyan, Leon (1993), Differential Games of Pursuit (Series on Optimization, Vol 2), World Scientific Publishers, ISBN 978-981-02-0979-7
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