A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type

Boualem Djehiche; Minyi Huang

doi:10.1007/s13235-015-0140-8

A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type

Boualem Djehiche, Minyi Huang

Mathematics

Research output: Contribution to journal › Article › peer-review

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 sub-game perfect equilibrium points. Subsequently, this approach is extended to a mean-field game to construct decentralized strategies and obtain an estimate of their performance.

Original language	English (US)
Pages (from-to)	55-81
Number of pages	27
Journal	Dynamic Games and Applications
Volume	6
Issue number	1
DOIs	https://doi.org/10.1007/s13235-015-0140-8
State	Published - Mar 1 2016

Keywords

Equilibrium
Maximum principle
Mean-field game
Mean-field SDE
Time-inconsistent stochastic control

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Computer Science Applications
Computer Graphics and Computer-Aided Design
Computational Theory and Mathematics
Computational Mathematics
Applied Mathematics

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10.1007/s13235-015-0140-8

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KW - Time-inconsistent stochastic control

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A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type

Abstract

Keywords

ASJC Scopus subject areas

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