Mixed linear quadratic stochastic differential leader-follower game with input constraint

DOI10.1007/s00245-021-09767-7zbMath1476.91021OpenAlexW3154075302MaRDI QIDQ2238958

Tinghan Xie, Jianhui Huang, Xinwei Feng

Publication date: 2 November 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-021-09767-7

zbMATH Keywords

stochastic differential gameforward-backward stochastic differential equationinput constraintmixed leader-follower problemsingular control weight

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) 2-person games (91A05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

Related Items (5)

Discrete‐time mean field social control with a major agent ⋮ Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ Robust backward linear-quadratic differential game and team: a soft-constraint analysis ⋮ Mixed leadership stochastic differential game in feedback information pattern with applications

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