A Stackelberg game of backward stochastic differential equations with partial information
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Publication:2070546
DOI10.3934/mcrf.2020047zbMath1481.91042arXiv1910.10299OpenAlexW3099981408WikidataQ115218788 ScholiaQ115218788MaRDI QIDQ2070546
Publication date: 24 January 2022
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.10299
maximum principlebackward stochastic differential equationpartial informationlinear-quadratic controlStackelberg game
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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