Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application (Q2298121)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
scientific article

    Statements

    Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application (English)
    0 references
    0 references
    0 references
    20 February 2020
    0 references
    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.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references