Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games

DOI10.3934/puqr.2022014zbMath1502.60097OpenAlexW4313008485MaRDI QIDQ2096188

Ran Tian, Zhi-Yong Yu

Publication date: 16 November 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2022014

zbMATH Keywords

stochastic optimal controlforward-backward stochastic differential equationmean-fieldstochastic linear-quadratic problemStackelberg stochastic differential game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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