A characterization of sub-game perfect equilibria for SDEs of mean-field type
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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.
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Cited in
(21)- Stochastic differential games for which the open-loop equilibrium is subgame perfect
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Characterization of stochastic equilibrium controls by the Malliavin calculus
- Krasovskii-Subbotin approach to mean field type differential games
- On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Berge equilibrium in linear-quadratic mean-field-type games
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Small-time solvability of a flow of forward-backward stochastic differential equations
- Renegotiation and dynamic inconsistency: contracting with non-exponential discounting
- Linear quadratic mean-field game with volatility uncertainty
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Stochastic maximum principle for a time-changed mean field game
- Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
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- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A stability property in mean field type differential games
- A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
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