Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes

DOI10.1016/j.jmaa.2024.129068MaRDI QIDQ6664107

Jun-Hee Moon

Publication date: 16 January 2025

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

asymmetric informationstochastic maximum principlejump-diffusion systemsleader-follower Stackelberg gamefour-step schemeintegro-type coupled Riccati differential equations

Mathematics Subject Classification ID

Game theory (91Axx) Stochastic systems and control (93Exx) Miscellaneous topics in calculus of variations and optimal control (49Nxx)

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