Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems from the flow feature (controlled by an external temporal...
| Principais autores: | , |
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| Formato: | Journal Article |
| Idioma: | English |
| Publicado em: |
2023
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| Acesso em linha: | https://hdl.handle.net/10356/171365 |
| _version_ | 1826113672194293760 |
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| author | Lei, Qian Pun, Chi Seng |
| author2 | School of Physical and Mathematical Sciences |
| author_facet | School of Physical and Mathematical Sciences Lei, Qian Pun, Chi Seng |
| author_sort | Lei, Qian |
| collection | NTU |
| description | This paper proves the existence and uniqueness results (in the sense of
maximally defined regularity) as well as the stability analysis for the
solutions to a class of nonlocal fully-nonlinear parabolic systems, where the
nonlocality stems from the flow feature (controlled by an external temporal
parameter) of the systems. The derived mathematical results generalize the
theory of stochastic differential games to incorporate with behavioral factors
such as time-inconsistent preferences, which facilitate developments of many
studies in financial economics including robust stochastic controls and games
under relative performance concerns. Moreover, with the well-posedness results,
we establish a general multidimensional Feynman--Kac formula in the presence of
nonlocality (time inconsistency). |
| first_indexed | 2024-10-01T03:27:03Z |
| format | Journal Article |
| id | ntu-10356/171365 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:27:03Z |
| publishDate | 2023 |
| record_format | dspace |
| spelling | ntu-10356/1713652023-10-26T08:01:10Z Nonlocality, nonlinearity, and time inconsistency in stochastic differential games Lei, Qian Pun, Chi Seng School of Physical and Mathematical Sciences Science::Physics Existence and Uniqueness Time Inconsistency This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems from the flow feature (controlled by an external temporal parameter) of the systems. The derived mathematical results generalize the theory of stochastic differential games to incorporate with behavioral factors such as time-inconsistent preferences, which facilitate developments of many studies in financial economics including robust stochastic controls and games under relative performance concerns. Moreover, with the well-posedness results, we establish a general multidimensional Feynman--Kac formula in the presence of nonlocality (time inconsistency). Ministry of Education (MOE) Chi Seng Pun gratefully acknowledges Ministry of Education (MOE), AcRFTier 2 Grant (Reference No: MOE-T2EP20220-0013) for the funding of this research. 2023-10-26T08:01:10Z 2023-10-26T08:01:10Z 2023 Journal Article Lei, Q. & Pun, C. S. (2023). Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. Mathematical Finance. https://dx.doi.org/10.1111/mafi.12420 0960-1627 https://hdl.handle.net/10356/171365 10.1111/mafi.12420 2-s2.0-85171779280 en MOE-T2EP20220-0013 Mathematical Finance © 2023 Wiley Periodicals LLC. All rights reserved. |
| spellingShingle | Science::Physics Existence and Uniqueness Time Inconsistency Lei, Qian Pun, Chi Seng Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title | Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title_full | Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title_fullStr | Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title_full_unstemmed | Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title_short | Nonlocality, nonlinearity, and time inconsistency in stochastic differential games |
| title_sort | nonlocality nonlinearity and time inconsistency in stochastic differential games |
| topic | Science::Physics Existence and Uniqueness Time Inconsistency |
| url | https://hdl.handle.net/10356/171365 |
| work_keys_str_mv | AT leiqian nonlocalitynonlinearityandtimeinconsistencyinstochasticdifferentialgames AT punchiseng nonlocalitynonlinearityandtimeinconsistencyinstochasticdifferentialgames |