A characterization of sub-game perfect Nash equilibria for SDEs of mean field type
classification
🧮 math.OC
math.PR
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fieldmeannashperfecttypeapproachcharacterizationcharacterize
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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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