Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach
DOI10.1137/20M1340769zbMath1492.91074arXiv2005.11872MaRDI QIDQ5081091
Xinwei Feng, Ying Hu, Jianhui Huang
Publication date: 1 June 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.11872
backward stochastic differential equationKarush-Kuhn-Tucker systemStackelberg gamebackward linear-quadratic controlpointwise and affine constraintsterminal perturbation
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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