A Stackelberg game of backward stochastic differential equations with partial information

DOI10.3934/MCRF.2020047zbMATH Open1481.91042arXiv1910.10299OpenAlexW3099981408WikidataQ115218788 ScholiaQ115218788MaRDI QIDQ2070546FDOQ2070546

Authors: Yueyang Zheng, Jingtao Shi 

Publication date: 24 January 2022

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub-$sigma$-algebra of that of the leader. Necessary and sufficient conditions of the optimality for the follower and the leader are first given for the general problem, by the partial information stochastic maximum principles of BSDEs and forward-backward stochastic differential equations (FBSDEs), respectively. Then a linear-quadratic (LQ) Stackelberg game of BSDEs with partial information is investigated. The state estimate feedback representation for the optimal control of the follower is first given via two Riccati equations. Then the leader's problem is formulated as an optimal control problem of FBSDE. Four high-dimensional Riccati equations are introduced to represent the state estimate feedback for the optimal control of the leader. Theoretic results are applied to a pension fund management problem of two players in the financial market.

Full work available at URL: https://arxiv.org/abs/1910.10299

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zbMATH Keywords

maximum principlebackward stochastic differential equationpartial informationStackelberg gamelinear-quadratic control

Mathematics Subject Classification ID

Portfolio theory (91G10) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)

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Cited In (5)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
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• A Stackelberg game of backward stochastic differential equations with applications
• Stackelberg solution for a two-agent rational expectations model

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