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SUMMARY:Adam Andersson (Saab AB and Chalmers University of Technology)
DTSTART:20260525T111500Z
DTEND:20260525T120000Z
DTSTAMP:20260527T063932Z
UID:cam/98
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/cam/98/">Geo
 metric convergence of fictitious play for stochastic differential games</a
 >\nby Adam Andersson (Saab AB and Chalmers University of Technology) as pa
 rt of CAM seminar\n\nLecture held in MV:L14.\n\nAbstract\nStochastic Diffe
 rential Games (SDG) are stochastic control problems\, where multiple playe
 rs can influence or control a joint SDE with possibly different objectives
 . Fictitious Play (FP) is a classic Piccard type approximation technique f
 rom game theory that has been applied in the literature also to SDG. In th
 is talk I introduce SDG\, the synthesis through dynamic programing and sys
 tems of PDE and FBSDE\, and present ongoing work on theoretical convergenc
 e properties of FP for SDG. A numerical example confirms experimentally th
 e established geometric convergence. Joint work with Kristoffer Andersson 
 (univ. of Verona) and Per Ljung (Saab AB & the Dept. of Electrical Enginee
 ring\, Chalmers).\n
LOCATION:https://researchseminars.org/talk/cam/98/
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