Time-Inconsistent Problems for Controlled Markov Chains with Distribution-Dependent Costs: Equilibrium Solutions

arXiv1909.11584MaRDI QIDQ6325972FDOQ6325972

Publication date: 25 September 2019

Abstract: This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent equilibrium in closed-loop sense is given and its existence and uniqueness have been established. Because of the time-inconsistency, it is proved that the equilibrium is locally optimal in an appropriate sense. Moreover, it has been shown that our problem is essentially equivalent to an infinite-player mean-field game with time-inconsistent cost.

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