Linear quadratic leader-follower stochastic differential games: closed-loop solvability
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Publication:6594926
DOI10.1007/s11424-023-1261-6zbMATH Open1546.91038MaRDI QIDQ6594926
Publication date: 29 August 2024
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Stackelberg equilibriumRiccati equationbackward stochastic differential equationlinear quadratic controlleader-follower stochastic differential gameclosed-loop solvability
Hierarchical games (including Stackelberg games) (91A65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)
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