Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models

forward-backward stochastic differential equation linear-quadratic control Markov jump systems Riccati differential equation leader-follower Stackelberg game

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20) Jump processes on discrete state spaces (60J74)

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Markov Chains
A Stackelberg game of backward stochastic differential equations with applications
Linear-quadratic optimal control problems for mean-field stochastic differential equations
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
Lévy Processes and Stochastic Calculus
Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
Output feedback control of Markov jump linear systems in continuous-time
Continuous-Time Markov Jump Linear Systems
Backward stochastic differential equations and integral-partial differential equations
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
On Necessary and Sufficient Conditions for ${H}_{\infty }$ Output Feedback Control of Markov Jump Linear Systems
Stackelburg solution for two-person games with biased information patterns
Existence and uniqueness of open-loop Stackelberg equilibria in linear-quadratic differential games
Stochastic stability properties of jump linear systems
Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping.
A Stackelberg network game with a large number of followers
Nonclassical control problems and Stackelberg games
Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games
A Leader-Follower Stochastic Linear Quadratic Differential Game
A Sufficient Condition for Linear-Quadratic Stochastic Zero-Sum Differential Games for Markov Jump Systems
The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
Linear quadratic mean field Stackelberg differential games
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
Leader-follower stochastic differential game with asymmetric information and applications
An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game
Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
Two-player zero-sum stochastic differential games with regime switching
Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
A Simple Proof of Indefinite Linear-Quadratic Stochastic Optimal Control With Random Coefficients
Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions
Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems

Cited In (5)

Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein-Uhlenbeck process
Transfer entropy on collective motion with undeclared loose leader-follower (LLF) structure
Stackelberg stochastic differential games in feedback information pattern with applications
Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes
Non-fragile $H_\infty$ filtering for delayed discrete-time Markov jump systems: an adaptive event-triggered strategy

This page was built for publication: Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103699)