Convergence of discrete time games to continuous time games (Reference: ESR8) ***This position has been filled***

• Title: Convergence of discrete time games to continuous time games
• Location:  Université Pierre et Marie Curie, Paris 6
• Secondment: Università degli Studi di Padova
• Contact: Hélène Frankowska
  
• Reference: ESR8

• Description of the subject:

This research area concerns optimal control and differential games problems, which take account of discrete time phenomena (information lags, discrete disturbances and random events). The corresponding value function appears to satisfy a discretized version of a Hamilton-Jacobi type equation. The aim is to look at conditions under which a limiting equation is obtained, when the discretization interval tends to zero, and to identify it with the Hamilton-Jacobi equation of some continuous time problem. Such limit behavior has to be investigated  also in connection  with stochastic games and games with incomplete information.

Applicants are expected to have a degree in Mathematics or Applied Mathematics and a good knowledge of optimization or control theories. 
 

• Advisor : Sylvain Sorin