A Stackelberg game of backward stochastic differential equations with applications
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Publication:2221216
DOI10.1007/s13235-019-00341-zzbMath1457.91121arXiv1904.08115OpenAlexW2993311526WikidataQ126557835 ScholiaQ126557835MaRDI QIDQ2221216
Publication date: 26 January 2021
Published in: Dynamic Games and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.08115
maximum principlebackward stochastic differential equationpension fundStackelberg differential gamelinear quadratic control
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of game theory (91A80) Linear-quadratic optimal control problems (49N10) Financial markets (91G15)
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