Proves that discrete-time and fully discrete approximations converge to the value functions of infinite-horizon N-player differential games and yield epsilon-Nash equilibria as time step and mesh size approach zero.
& Zaccour, G., Nonzero-Sum Differential Games, in Hand- book of Differential Games, Ba¸ sar T
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On Discrete-Time Approximations to Infinite Horizon Differential Games
Proves that discrete-time and fully discrete approximations converge to the value functions of infinite-horizon N-player differential games and yield epsilon-Nash equilibria as time step and mesh size approach zero.