Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions (Q6175599)

scientific article; zbMATH DE number 7716071

Language	Label	Description	Also known as
English	Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions	scientific article; zbMATH DE number 7716071

Statements

instance of

scholarly article

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title

Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions (English)

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published in

Automatica

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publication date

24 July 2023

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full work available at URL

https://arxiv.org/abs/2208.00347

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zbMATH Keywords

leader-follower game

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linear quadratic problem

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Markov chain

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mean-field interaction

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Riccati equation

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MaRDI profile type

MaRDI publication profile

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cites work

Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

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Mean-field-type games with jump and regime switching

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Mean-field backward stochastic differential equations: A limit approach

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Mean-field backward stochastic differential equations and related partial differential equations

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Mean field forward-backward stochastic differential equations

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Probabilistic Analysis of Mean-Field Games

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Probabilistic Theory of Mean Field Games with Applications I

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Mean field games with common noise

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A probabilistic approach to mean field games with major and minor players

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Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

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A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications

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Minimization of risks in pension funding by means of contributions and portfolio selection.

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Q4002114

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Stochastic maximum principle in the mean-field controls

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Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations

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Asymptotically Optimal Decentralized Control for Large Population Stochastic Multiagent Systems

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An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game

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Two-player zero-sum stochastic differential games with regime switching

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The Dynkin game with regime switching and applications to pricing game options

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Hybrid optimal impulse control

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems

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A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems

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On laws of large numbers for systems with mean-field interactions and Markovian switching

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A general stochastic maximum principle for mean-field controls with regime switching

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Leader-follower stochastic differential game with asymmetric information and applications

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On Optimal Harvesting Problems in Random Environments

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A maximum principle for mean-field stochastic control system with noisy observation

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Q3503154

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A Leader-Follower Stochastic Linear Quadratic Differential Game

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

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Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system

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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

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A Stackelberg game of backward stochastic differential equations with applications

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Optimal control of the risk process in a regime-switching environment

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Identifiers

zbMATH Open document ID

1520.91087

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arXiv ID

2208.00347

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Mathematics Subject Classification ID

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10.1016/J.AUTOMATICA.2023.111072

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Sitelinks

Mathematics(1 entry)

mardi Publication:6175599