Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models

DOI10.1016/j.automatica.2022.110713zbMath1505.91056OpenAlexW4309579403MaRDI QIDQ2103699

Jun-Hee Moon

Publication date: 9 December 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110713

zbMATH Keywords

linear-quadratic controlforward-backward stochastic differential equationRiccati differential equationMarkov jump systemsleader-follower Stackelberg game

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Jump processes on discrete state spaces (60J74)

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