You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Article
Title:
A stochastic linear-quadratic differential game with time-inconsistency
Contributor:
Zhou, Qinglong;
Zong, Gaofeng
imprint:
American Institute of Mathematical Sciences (AIMS), 2022
Published in:Electronic Research Archive
Language:
Not determined
DOI:
10.3934/era.2022131
ISSN:
2688-1594
Origination:
Footnote:
Description:
<jats:p xml:lang="fr"><abstract><p>We consider a general stochastic linear-quadratic differential game with time-inconsistency. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We define an equilibrium strategy, which is different from the classical one, and derive a sufficient condition for equilibrium strategies via a system of forward-backward stochastic differential equation. When the state is one-dimensional and the coefficients are all deterministic, we find an explicit equilibrium strategy. The uniqueness of such equilibrium strategy is also given.</p></abstract></jats:p>