A linear-quadratic partially observed Stackelberg stochastic differential game with application
DOI10.1016/j.amc.2021.126819OpenAlexW4200614756MaRDI QIDQ2668356
Publication date: 3 March 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.13961
Stackelberg equilibriumlinear-quadratic controlstochastic filteringpartial observationleader-follower stochastic differential gamestate decompositionbackward separation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
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