Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems

DOI10.1137/20M1352314zbMath1460.91028arXiv2007.05895OpenAlexW3133589444MaRDI QIDQ5858099

Jun-Hee Moon

Publication date: 9 April 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.05895

zbMATH Keywords

leader-follower Stackelberg gameforward-backward stochastic differential equation with jump diffusionslinear-quadratic control for jump diffusionsstochastic Riccati differential equation

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

Related Items (7)

Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models ⋮ Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model

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