Controlled Markov chains with non-exponential discounting and distribution-dependent costs
Abstract
This paper deals with a controlled Markov chain in continuous time with a non-exponential discounting and distribution-dependent cost functional. A definition of closed-loop equilibrium is given and its existence and uniqueness are established. Due to the time-inconsistency brought by the non-exponential discounting and distribution dependence, it is proved that the equilibrium is locally optimal in some appropriate sense. Moreover, it is shown that our problem is equivalent to a mean-field game for infinite-many symmetric players with a non-exponential discounting cost.
Document Details
- Document Type
- Pub Defense Publication
- Publication Date
- Jan 01, 2021
- Source ID
- 10.1051/cocv/2021003
Entities
People
- Gang George Yin
- Hongwei Mei
Organizations
- Air Force Office of Scientific Research