Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information

DOI10.1051/cocv/2020006zbMath1461.91032arXiv1804.07466OpenAlexW3004700137MaRDI QIDQ5854375

Guangchen Wang, Jing-Tao Shi, Jie Xiong

Publication date: 17 March 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07466

zbMATH Keywords

maximum principlestochastic filteringStackelberg differential gamestochastic linear quadratic optimal controloverlapping information

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

Related Items (6)

Stackelberg stochastic differential game with asymmetric noisy observations ⋮ A linear quadratic stochastic Stackelberg differential game with time delay ⋮ A linear-quadratic partially observed Stackelberg stochastic differential game with application ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations ⋮ A Stackelberg game of backward stochastic differential equations with partial information

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