Leader-follower stochastic differential game with asymmetric information and applications

DOI10.1016/j.automatica.2015.10.011zbMath1329.93157arXiv1509.03982OpenAlexW2181123679MaRDI QIDQ901174

Guangchen Wang, Jie Xiong, Jing-Tao Shi

Publication date: 23 December 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.03982

zbMATH Keywords

asymmetric informationfilteringconditional mean-field forward-backward stochastic differential equationleader-follower stochastic differential gameopen-loop Stackelberg equilibriumpartial information linear-quadratic control

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

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