Feedback Solution of a Class of Differential Games with Endogenous Horizons |
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| Authors: | Yeung D W K |
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| Institution: | (1) Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong, PRC;(2) Center for Game Theory, Faculty of Applied Mathematics and Control Processes, St. Petersburg University, St. Petersburg, Russia |
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| Abstract: | In this paper, we consider a class of differential games in which the game ends when a subset of its state variables reaches a certain target at the terminal time. A special feature of the game is that its horizon is not fixed at the outset, but is determined endogenously by the actions of the players; conditions characterizing a feedback Nash equilibrium (FNE) solution of the game are derived for the first time. Extensions and illustrations of the derivation of FNE solutions of the game are provided. |
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| Keywords: | differential games feedback Nash equilibrium endogenous horizons |
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