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

Author

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  • Boualem Djehiche

    (KTH Royal Institute of Technology)

  • Minyi Huang

    (Carleton University)

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.

Suggested Citation

  • Boualem Djehiche & Minyi Huang, 2016. "A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type," Dynamic Games and Applications, Springer, vol. 6(1), pages 55-81, March.
    • Handle: RePEc:spr:dyngam:v:6:y:2016:i:1:d:10.1007_s13235-015-0140-8
    DOI: 10.1007/s13235-015-0140-8
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    References listed on IDEAS

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    Cited by:

    1. Cetemen, Doruk & Feng, Felix Zhiyu & Urgun, Can, 2023. "Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting," Journal of Economic Theory, Elsevier, vol. 208(C).
    2. Boualem Djehiche & Peter Helgesson, 2015. "The Principal-Agent Problem With Time Inconsistent Utility Functions," Papers 1503.05416, arXiv.org.
    3. Alia, Ishak & Chighoub, Farid & Sohail, Ayesha, 2016. "A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 212-223.

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