Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
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Cites work
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- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- scientific article; zbMATH DE number 3373608 (Why is no real title available?)
- A Leader-Follower Stochastic Linear Quadratic Differential Game
- A Simple Proof of Indefinite Linear-Quadratic Stochastic Optimal Control With Random Coefficients
- A Stackelberg game of backward stochastic differential equations with applications
- A Stackelberg network game with a large number of followers
- A Sufficient Condition for Linear-Quadratic Stochastic Zero-Sum Differential Games for Markov Jump Systems
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- 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
- Backward stochastic differential equations and integral-partial differential equations
- Continuous-time Markov jump linear systems.
- Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
- Existence and uniqueness of open-loop Stackelberg equilibria in linear-quadratic differential games
- Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
- Leader-follower stochastic differential game with asymmetric information and applications
- Linear quadratic mean field Stackelberg differential games
- Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
- Lévy Processes and Stochastic Calculus
- Markov Chains
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities
- Nonclassical control problems and Stackelberg games
- On Necessary and Sufficient Conditions for ${H}_{\infty }$ Output Feedback Control of Markov Jump Linear Systems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Output feedback control of Markov jump linear systems in continuous-time
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
- Stackelburg solution for two-person games with biased information patterns
- Stochastic stability properties of jump linear systems
- Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping.
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- The maximum principle for global solutions of stochastic Stackelberg differential games
- Two-player zero-sum stochastic differential games with regime switching
Cited in
(9)- Linear quadratic leader-follower stochastic differential games: closed-loop solvability
- Stackelberg stochastic differential games in feedback information pattern with applications
- Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
- 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
- Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
- Non-fragile \(H_\infty\) filtering for delayed discrete-time Markov jump systems: an adaptive event-triggered strategy
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes
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