Mean Field Stackelberg Games: Aggregation of Delayed Instructions

DOI10.1137/140993399zbMath1320.91028OpenAlexW1076438846MaRDI QIDQ5502187

Sheung Chi Phillip Yam, M. H. M. Chau, Alain Bensoussan

Publication date: 18 August 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9211955516f8f534adf9b2b6178714511efc01fc

zbMATH Keywords

Stackelberg gamesmean field gamesdominating playernonsymmetric Riccati equationsforward-backward stochastic functional differential equationsbackward stochastic dynamicsdelay information from dominating player

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Limit theorems in probability theory (60F99)

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