Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games

DOI10.1007/s00245-024-10161-2zbMath1542.91023MaRDI QIDQ6589698

Jing-Tao Shi, Zixuan Li

Publication date: 20 August 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Riccati equationstochastic linear quadratic optimal controlclosed-loop solvabilityStackelberg stochastic differential gamemean-field-type forward-backward stochastic 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) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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