Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
type: Item
instance of: scholarly article
title: Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
zbMATH Open document ID: 1435.91023
DOI: 10.1155/2019/1798585
author: Kai Du
author: Zhen Wu
published in: Mathematical Problems in Engineering
publication date: 2020-02-20T00:00:00Z
review text: Summary: This paper is concerned with a new kind of Stackelberg differential game of mean-field backward stochastic differential equations (MF-BSDEs). By means of four Riccati equations (REs), the follower first solves a backward mean-field stochastic LQ optimal control problem and gets the corresponding open-loop optimal control with the feedback representation. Then the leader turns to solve an optimization problem for a \(1 \times 2\) mean-field forward-backward stochastic differential system. In virtue of some high-dimensional and complicated REs, we obtain the open-loop Stackelberg equilibrium, and it admits a state feedback representation. Finally, as applications, a class of stochastic pension fund optimization problems which can be viewed as a special case of our formulation is studied and the open-loop Stackelberg strategy is obtained.
Mathematics Subject Classification ID: 91A16
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 91A65
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7170500
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2019/1798585
OpenAlex ID: W2917518500
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description: scientific article