2019/09/25 by Hongwei Mei, Mei, Hongwei, George Yin +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Class (philosophy) #Computer science #Distribution (mathematics) #Economic theories and models #Equilibrium selection #Game theory #Markov Chains and Monte Carlo Methods #Markov chain #Markov perfect equilibrium #Mathematical analysis #Mathematical economics #Mathematical optimization #Mathematics #Nash equilibrium #Repeated game #Sense (electronics) #Sequential equilibrium #Statistics #Stochastic processes and financial applications #Uniqueness #math.OC #math.PR
paper · pdf · doi:10.48550/arxiv.1909.11584
published in arXiv (Cornell University) (Cornell University)
arxiv created 2019/09/25 · openalex publication_date 2019/09/25 · arxiv updated 2019/09/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent equilibrium in closed-loop sense is given and its existence and uniqueness have been established. Because of the time-inconsistency, it is proved that the equilibrium is locally optimal in an appropriate sense. Moreover, it has been shown that our problem is essentially equivalent to an infinite-player mean-field game with time-inconsistent cost.