Time-Inconsistent Stochastic Linear-quadratic Differential Game

Qinglong Zhou and Gaofeng Zong

Papers from arXiv.org

Abstract: We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We define an equilibrium strategy, which is different from the classical one, and derived a sufficient conditions for equilibrium strategies via a system of forward-backward stochastic differential equations. When the state is one-dimensional and the coefficients are all deterministic, we find an explicit equilibrium strategy. The uniqueness of such equilibrium strategy is also given.

Date: 2016-07
New Economics Papers: this item is included in nep-ger and nep-gth
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Published in Electronic Research Archive 2022

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