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

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.

28 pages

References in corpus (1)

• Being serious about non-commitment: subgame perfect equilibrium in continuous time

Cited by in corpus (1)

• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems