Zhenjie Ren (LaMME, Université Évry – Paris Saclay)

Titre : Stochastic correlated equilibrium with terminal commitment

Résumé : In classical game theory, a correlated equilibrium describes how players coordinate their actions by following recommendations from a trusted source that correlates their choices. In this talk, we explore a natural extension of this concept to a continuous-time stochastic framework. By revisiting Yasue’s calculus of variations in the context of stochastic mechanics, we derive a PDE system that characterizes the stochastic correlated equilibrium. We will discuss the well-posedness of this system and examine its potential long-term behavior, along with an extension to mean field games.

This is an ongoing project with Chenchen MOU (CityU HK) and Huafu LIAO (TU Dalian).

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