Unified Convergence Proofs of Continuous-Time Fictitious Play

Abstract

We consider a continuous-time version of fictitious play (FP), in which interacting players evolve their strategies in reaction to their opponents' actions without knowledge of their opponents' utilities. It is known that FP need not converge, but that convergence is possible in certain special cases including zero-sum games, identical interest games, and two-player/two-move games. We provide a unified proof of convergence in all of these cases by showing that a Lyapunov function previously introduced for zero-sum games also can establish stability in the other special cases. We go on to consider a two-player game in which only one player has two-moves and use properties of planar dynamical systems to establish convergence.

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