On the Computation of Value Correspondences for Dynamic Games

Recursive game theory provides theoretic procedures for computing the equilibrium payoff or value sets of repeated games and the equilibrium payoff or value correspondences of dynamic games. In this paper, we propose and implement outer and inner approximation methods for equilibrium 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.