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

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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.

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Author information

Authors and Affiliations

  1. Department of Mathematics, KTH Royal Institute of Technology, SE-100 44, Stockholm, Sweden

    Boualem Djehiche

  2. School of Mathematics and Statistics, Carleton University, Ottawa, ON, K1S 5B6, Canada

    Minyi Huang

Authors
  1. Boualem Djehiche
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  2. Minyi Huang
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Corresponding author

Correspondence to Minyi Huang.

Additional information

Boualem Djehiche received financial support from the Swedish Export Credit Corporation (SEK) which is gratefully acknowledged. Many thanks to Tomas Björk and Georges Zaccour for fruitful discussions and their insightful comments. Minyi Huang’s work was partially supported by Natural Sciences and Engineering Research Council (NSERC) of Canada.

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Djehiche, B., Huang, M. A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type. Dyn Games Appl 6, 55–81 (2016). https://doi.org/10.1007/s13235-015-0140-8

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  • DOI: https://doi.org/10.1007/s13235-015-0140-8

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