Linear-quadratic stochastic Stackelberg differential game with asymmetric information

被引：0
|
作者：
Jingtao Shi
Guangchen Wang
Jie Xiong
机构：
[1] Shandong University,School of Mathematics
[2] Shandong University,School of Control Science and Engineering
[3] University of Macau,Department of Mathematics
来源：
Science China Information Sciences | 2017年 / 60卷
关键词：
stochastic Stackelberg differential game; linear-quadratic control; asymmetric information; conditional mean-field forward-backward stochastic differential equation; optimal filtering;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper is concerned with a linear-quadratic stochastic Stackelberg differential game, where players have asymmetric roles, with one leader and one follower in the context of two-person game. It is required that the information available to the follower is a sub-σ-algebra of the one of the leader. By maximum principle and optimal filtering, a feedback Stackelberg equilibrium of the game is given. A special example is used to elaborate the result.
引用
收藏
相关论文
共 50 条
  • [1] Linear-quadratic stochastic Stackelberg differential game with asymmetric information
    Shi, Jingtao
    Wang, Guangchen
    Xiong, Jie
    [J]. SCIENCE CHINA-INFORMATION SCIENCES, 2017, 60 (09)
  • [2] Linear-quadratic stochastic Stackelberg differential game with asymmetric information
    Jingtao SHI
    Guangchen WANG
    Jie XIONG
    [J]. Science China(Information Sciences), 2017, 60 (09) : 211 - 225
  • [3] A Three-level Stochastic Linear-quadratic Stackelberg Differential Game with Asymmetric Information
    Kang, Kaixin
    Shi, Jingtao
    [J]. 2023 35TH CHINESE CONTROL AND DECISION CONFERENCE, CCDC, 2023, : 5231 - 5238
  • [4] A Kind of Stochastic Linear-Quadratic Stackelberg Differential Game with Overlapping Information
    Shi, Jingtao
    Wang, Guangchen
    Xiong, Jie
    [J]. PROCEEDINGS OF THE 36TH CHINESE CONTROL CONFERENCE (CCC 2017), 2017, : 1799 - 1804
  • [5] A linear-quadratic partially observed Stackelberg stochastic differential game with application
    Zheng, Yueyang
    Shi, Jingtao
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2022, 420
  • [6] Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information*
    Shi, Jingtao
    Wang, Guangchen
    Xiong, Jie
    [J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 26
  • [7] An asymmetric information mean-field type linear-quadratic stochastic Stackelberg differential game with one leader and two followers
    Wang, Guangchen
    Wang, Yu
    Zhang, Susu
    [J]. OPTIMAL CONTROL APPLICATIONS & METHODS, 2020, 41 (04): : 1034 - 1051
  • [8] Linear-Quadratic Mixed Stackelberg–Nash Stochastic Differential Game with Major–Minor Agents
    Jianhui Huang
    Kehan Si
    Zhen Wu
    [J]. Applied Mathematics & Optimization, 2021, 84 : 2445 - 2494
  • [9] STACKELBERG STRATEGIES IN LINEAR-QUADRATIC STOCHASTIC DIFFERENTIAL-GAMES
    BAGCHI, A
    BASAR, T
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 1981, 35 (03) : 443 - 464
  • [10] A Linear Quadratic Stackelberg Game of Backward Stochastic Differential Equations with Partial Information
    Zheng, Yueyang
    Shi, Jingtao
    [J]. PROCEEDINGS OF THE 39TH CHINESE CONTROL CONFERENCE, 2020, : 966 - 971
12345