A Stackelberg game of backward stochastic differential equations with partial information

DOI10.3934/MCRF.2020047MaRDI QIDQ2070546zbMATH OpenOpenAlexWikidataFDO

Authors Yueyang Zheng, Jingtao Shi

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

zbMATH Keywords

backward stochastic differential equationlinear-quadratic controlmaximum principlepartial informationStackelberg game

Mathematics Subject Classification ID

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

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.

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Cited in

(10)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
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• Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
• A Stackelberg game for mean-field backward stochastic system under partial information
• Closed-loop equilibria for Stackelberg games: a story about stochastic targets
• Maximum principle for partially observed leader-follower stochastic differential game
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)

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