英文标题：
《Time-Inconsistent Stochastic Linear-quadratic Differential Game》
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作者：
Qinglong Zhou, Gaofeng Zong
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最新提交年份：
2016
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英文摘要：
  We consider a general time-inconsistent stochastic linear-quadratic differential game. 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 derived a sufficient conditions for equilibrium strategies via a system of forward-backward stochastic differential equations. 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.
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中文摘要：
研究了一类一般时间不一致的随机线性二次微分对策。时间不一致性是由于目标泛函中存在期望状态的二次项以及状态相关项。我们定义了一个不同于经典均衡策略的均衡策略，并通过一个正倒向随机微分方程组导出了均衡策略的充分条件。当状态为一维且系数均为确定性时，我们找到了一个显式的平衡策略。给出了这种均衡策略的唯一性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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