On the Approximation of Value Correspondences

Christopher Sleet and Sevin Yeltekin ()

No 2007-E21, GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: Recursive game theory provides theoretical procedures for computing the equilibrium payoff sets of repeated games and the equilibrium payoff correspondences of dynamic games. In this paper, we propose and implement outer and inner approximation methods for value correspondences that naturally occur in the analysis of dynamic games.The procedure utilizes set-valued step functions. We provide an application to a bilateral insurance game with storage.

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