Game theory, applications in economics and finance

Ects : 6

Enseignant responsable :


Volume horaire : 18

Description du contenu de l'enseignement :

A- Basics of game theory:

1. Zero-sum games: value, optimal strategies, saddle points, minmax theorem.

2. N-layers normal form games: equilibria in dominant strategies, Nash equilibria, dominated strategies, Nash’s existence theorem.

3. Extensive form: backward induction, subgame perfection, theorem of Kuhn-Zermelo, behavior strategies and Kuhn’s theorem.


B- Applications:

1. Repeated games and cooperation, folk theorems.

2. Zero-sum repeated games with incomplete information on one side (Aumann-Maschler’s model). Splitting lemma, uniform value.

3. Zero-sum stochastic games: dynamic structure, Shapley operator, theorems of Bewley-Kohlberg and Mertens-Neyman.

Compétence à acquérir :

The first part deals with the basics of game theory, the second one with applications in economics and finance. There will only be time to study 2 of the 3 applications (to be decided).