Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application

DOI10.1155/2019/1798585zbMath1435.91023OpenAlexW2917518500MaRDI QIDQ2298121

Kai Du, Zhen Wu

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/1798585

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

Related Items (10)

Stackelberg stochastic differential game with asymmetric noisy observations ⋮ Backward-forward linear-quadratic mean-field Stackelberg games ⋮ Pareto-based Stackelberg differential game for stochastic systems with multi-followers ⋮ An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Hierarchical structures and leadership design in mean-field-type games with polynomial cost ⋮ A nonhomogeneous mean-field linear-quadratic optimal control problem and application ⋮ Linear quadratic control of backward stochastic differential equation with partial information ⋮ Partial information stochastic differential games for backward stochastic systems driven by Lévy processes ⋮ A Stackelberg game of backward stochastic differential equations with partial information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Mean-field backward stochastic differential equations: A limit approach
• Leader-follower stochastic differential game with asymmetric information and applications
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal investment for a pension fund under inflation risk
• Mean field games
• Stackelberg strategies in linear-quadratic stochastic differential games
• Forward-backward stochastic differential equations and their applications
• A partial information non-zero sum differential game of backward stochastic differential equations with applications
• Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
• Linear quadratic mean-field-game of backward stochastic differential systems
• Nash equilibrium strategies for a defined contribution pension management
• Linear-Quadratic Control of Backward Stochastic Differential Equations
• Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
• Backward Mean-Field Linear-Quadratic-Gaussian (LQG) Games: Full and Partial Information
• A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications
• A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
• A Leader-Follower Stochastic Linear Quadratic Differential Game
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
• Mean Field Games and Mean Field Type Control Theory
• The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

This page was built for publication: Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application