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发表时间:2019-08-28 阅读次数:95次
报告题目: On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
报 告 人:Prof. Xuedong He
报告人所在单位:香港中文大学
报告日期:2019-08-28 星期三
报告时间:10:30–11:30
报告地点:光华东主楼1801
  
报告摘要:
In a continuous-time setting, the existing notion of equilibrium strategies for time-inconsistent problems in the literature,referred to as weak equilibria, is not fully aligned with the standard definition of equilibria in the game theory in that the agentmay be willing to deviate from a given weak equilibrium strategy. To address this issue, we propose two new notions of equilibriumstrategies for time-inconsistent problems, named regular equilibria and strong equilibria. For a large class of time-inconsistentproblems, we derive sufficient conditions as well as necessary conditions for a strategy to be a regular equilibrium and to be a strong equilibrium. We examine three time-inconsistent portfolio selection problems in the literature and show that the weak equilibrium strategies derived therein are also regular equilibria but are not strong equilibria. We further provide an example to show that a weak equilibrium strategy may not be a regular equilibrium. This is a joint work with Zhaoli Jiang.

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本年度学院报告总序号:189

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