Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games

Wei Ji ()
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Wei Ji: Guiyang University

International Journal of Game Theory, 2024, vol. 53, issue 2, No 14, 635-651

Abstract: Abstract In this study, we concern with a class linear quadratic (LQ, for short) N-person differential games with time inconsistency, where the time inconsistency arises from non-exponential discount function. The notions of closed-loop and open-loop equilibrium strategy are introduced. We establish the equivalent relationship between time-inconsistent differential game problems, forward-backward type differential equations, and Riccati type differential equations in the framework of closed-loop and open-loop equilibrium, respectively. We provide an example of time-inconsistent differential games from which we find a time-consistent equilibrium strategy.

Keywords: Closed-loop equilibrium; Open-loop equilibrium; Time inconsistency; N-person differential games (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00182-024-00895-2

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