18 citations · 24 across the 14 of their papers we have counts for
5 papers · 1 filter
Kyle meets time-inconsistency: a dynamic mean--variance informed trading problem
Shuoqing Deng, Zhichao Luo, Zhenhua Wang
We study a Kyle--Back model in which the informed trader has dynamic mean--variance preferences, leading to a time-inconsistent trading problem that is formulated as an intraperson…
Existence of Relaxed Equilibrium for Time-Inconsistent Mean Field Games: A Set-Valued Fixed Point Approach
Zhenhua Wang, Zhou Zhou
This paper studies the existence of relaxed equilibria for finite-horizon continuous-time time-inconsistent mean field games. We work directly on the product space of relaxed feedb…
Time-Inconsistent MDPs with Entropy Regularization: Equilibrium Existence and Policy Iteration
Fengyuan Cao, Zhenhua Wang
We study infinite-horizon time-inconsistent Markov decision processes with a countably infinite state space and unbounded reward functions. The reward is allowed to depend explicit…
Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization
Erhan Bayraktar, Zhenhua Wang, Xiang Yu +1
This paper studies the existence and approximation of equilibria for general time-inconsistent mean field game (MFG) problems in continuous time. To handle the intricate nonlocal e…
Equilibrium under Time-Inconsistency: A New Existence Theory by Vanishing Entropy Regularization
Zhenhua Wang, Xiang Yu, Jingjie Zhang +1
This paper develops a framework for establishing the existence of solutions to the equilibrium Hamilton-Jacobi-Bellman (EHJB) equation arising in time-inconsistent stochastic contr…