A characterization of sub-game perfect equilibria for SDEs of mean-field type
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Publication:291201
DOI10.1007/S13235-015-0140-8zbMATH Open1348.91020arXiv1403.6324OpenAlexW2062768314MaRDI QIDQ291201FDOQ291201
Publication date: 7 June 2016
Published in: Dynamic Games and Applications (Search for Journal in Brave)
Abstract: We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is extended to a mean field game to construct decentralized strategies and obtain an estimate of their performance.
Full work available at URL: https://arxiv.org/abs/1403.6324
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Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming in optimal control and differential games (49L20) Games with infinitely many players (91A07) Optimal stochastic control (93E20)
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Cited In (18)
- On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
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- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
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- Small-time solvability of a flow of forward-backward stochastic differential equations
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Linear quadratic mean-field game with volatility uncertainty
- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
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- Characterization of stochastic equilibrium controls by the Malliavin calculus
- Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
- Berge equilibrium in linear-quadratic mean-field-type games
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