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

Boualem Djehiche and Minyi Huang ()
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Minyi Huang: Carleton University

Dynamic Games and Applications, 2016, vol. 6, issue 1, No 3, 55-81

Abstract: 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.

Keywords: Time-inconsistent stochastic control; Maximum principle; Mean-field SDE; Equilibrium; Mean-field game (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s13235-015-0140-8

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