Niels Dalgaard

Niels Dalgaard is a Research Fellow at the Institute for Advanced Dynamic Uncertainty, where his work concerns the theory of differential games and its applications to strategic decision problems in economics and sovereign policy. He holds a PhD in Mathematics from the University of Copenhagen (Department of Mathematical Sciences), where his doctoral research examined two-player zero-sum differential games and the Hamilton–Jacobi–Isaacs equation: establishing conditions for the existence and uniqueness of viscosity solutions, characterising saddle-point equilibria, and developing numerical schemes for problems in which the value function fails to be smooth on a set of positive measure.

Following his doctorate, Dalgaard extended his work to N-player non-cooperative differential games, analysing the structure of Nash equilibria in finite and infinite horizon settings and their behaviour as the number of players becomes large. This line of inquiry — the passage from finitely many strategic agents to the continuum limit — connects naturally to the theory of mean field games, and his work in this period developed rigorous formulations of the limit and identified conditions under which Nash equilibria of the N-player game approximate those of the limiting mean field system.

At IADU, Dalgaard applies differential game theory to strategic problems arising in sovereign and institutional contexts: the dynamics of currency defence under speculative pressure, competitive regulatory design across jurisdictions, and sovereign debt negotiations modelled as two-party games with asymmetric information. His work gives the Institute precise analytical tools for problems in which policy is not the solution to an optimisation but the outcome of a strategic interaction.