The University of Texas at Dallas

School of Management
OPRE 7346: DIFFERENTIAL GAMES AND APPLICATIONS
Spring 2006
Section 0001: Thursday 2:00 – 4:45 pm in SOM

Instructor: Alain Bensoussan

Office: SOM 3.211
Phone: 972 883 6117 (Office)
Office Hours: Thursday 5-6 p.m.
E-mail: alain.bensoussan@utdallas.edu

TA: Bishoram Guragai

Contact Place: SOM 2.210 (Cohort MBA Graduate Lounge)
Contact Time: Friday 1 pm to 3 pm.
E-mail: bxg047000@utdallas.edu

Required Text:

Differential Games in Economics and Management Science,

E. Dockner, S. Jorgensen, N. Van Long, G. Sorger
Cambridge University Press 2000

Notes will be available.

Prerequisites: OPRE 7320- Optimal Control Theory

Objectives: The objectives are to present the main results and techniques to solve
differential games with potential applications in management and economics.
Only deterministic situations will be considered. Since differential games are
extensions of control theory models, a good knowledge of control theory is
necessary. Elements of Functional Analysis will be used to present the basic
results, and Control Theory will be revisited in that spirit. We shall cover in
particular open-loop and closed loop Nash equilibrium , linear quadratic
differential games and Stackelberg differential games.

Evaluation:

Midterm Examination: 30%

Final Examination: 30%
Assignments: 30%
Class Participation: 10%
Total: 100%

Assignments: They consist in presenting articles or parts of the notes

 Tentative Course Outline

SN Date Topic Chapter

1 Jan 12 1. Chapter I: Optimal Control Theory 1
(A) I.1-Notation
(B) I.2-Necessary Conditions Of Optimality
2 Jan 19 (C) I.3-Sufficient Conditions Of Optimality 1
(D) I.4-Infinite Horizon
3 Jan 26 (E) I.5-Dynamic Programming 1
(F) I.6-Links With Maximum Principle
4 Feb 2 2. Chapter II: Static Games 2
(A) II.1-Nash Equilibrium
(B) II.2-Stackelberg Equilibrium
(C) II.3-Pareto Equilibrium
(D) II.4-Two-Person Zero-Sum Games
5 Feb 9 3. Chapter III: Open Loop Differential Games 3
(A) III.1-Open-Loop Nash Equilibrium
(B) III.2-Case Of Two-Person Zero-Sum
Differential Game
(C) III.3-Example
(D) III.4-Dynamic Programming Approach
6 Feb 16 4. Chapter IV: Closed Loop Differential Games 4
(A) IV.1-Closed-Loop Nash Equilibrium
(B) IV.2-Dynamic Programming Formulation Of
Closed-Loop
Nash Equilibrium
(C) IV.3-Zero-Sum Closed Loop Differential
Games
(D) IV.4-Closed-Loop Nash Equilibrium For The
Example
7 Feb 23 5. Chapter V: Linear Quadratic Differential 5
Games
(A) V.1-A Simple Example
(B) V.2-Basic Model
I. V-2-1: Finite Horizon
II. V-2-2: Infinite Horizon
III. V-2-3:Non-Zero Final Cost
8 March Midterm
2
9 March (C) V.3-Non-Stationary Model 5
9 I. V-3-1: Maximum Principle
II. V-3-2: Fundamental Matrix
(D) V-4: Closed-Loop Nash Equilibrium
I. V-4-1: System Of Pde
II. V-4-2: System Of Riccati Equations
III. V-4-3: Stationary Case
IV. V-4-4: Existence Result
10 March (E) V-5: Two-Zero Sum Differential Game 5
16 I. V-5-1: Main Results
II. V-5-2: Examples
(F) V-6: Disturbance Attenuation Problem
I. V-6-1: General Considerations
II. V-6-2: Robust Control
11 March 6. Chapter VI: Linear State Differential Games 6
23 (A) VI-1: General Presentation
(B) VI-2: Examples
I. VI-2-1: Public Stock Of Knowledge
II. VI-2-2: Competing Firms
III. VI-2-3: Advertising Competition
12 March 7. Chapter VII : Stackelberg Differential Games 7
30 (A) VII-1: Open-Loop Stackelberg Differential
Games
(B) VII-2: Infinite Horizon
(C) VII-3: Examples
13 April (C) VII-3: Examples (Contd.) 7
6 (D) VII-4: Comparaison Between Nash And
Stackelberg Points
14 April (E) VII-5: Zero-Sum Stackelberg Games 7
13 (F) VII-6: Further Examples
15 April (G) VII-7: Closed-Loop Stackelberg Games 7
20
16 April Final Examination
27