A characterization of sub-game perfect Nash equilibria for SDEs of mean field type

2014/03/25 by Djehiche, Boualem, Huang, Minyi
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1403.6324

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 subgame perfect Nash 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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