Nonlocality, nonlinearity, and time inconsistency in stochastic differential games

DOI10.1111/mafi.12420arXiv2112.14409OpenAlexW4310228075MaRDI QIDQ6178394

Chi Seng Pun, Qian Lei

Publication date: 18 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.14409

zbMATH Keywords

existence and uniquenessFeynman-Kac formulatime inconsistencystochastic differential gamesmathematics of behavioral economicsnonlocal nonlinear parabolic systems

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

Related Items (1)

An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix

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