2 papers
math.PR2025
Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent -player games, and their mean-field sequel
Dylan Possamaï, Chiara Rossato
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the…
math.PR2024
Golden parachutes under the threat of accidents
Dylan Possamaï, Chiara Rossato
This paper addresses a continuous-time contracting model that extends the problem introduced by Sannikov and later rigorously analysed by Possamaï and Touzi. In our model, a princ…