A linear quadratic stochastic Stackelberg differential game with time delay

DOI10.3934/mcrf.2021035zbMath1498.91038arXiv2012.14145MaRDI QIDQ2171226

Jing-Tao Shi, Weijun Meng

Publication date: 23 September 2022

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

Full work available at URL: https://arxiv.org/abs/2012.14145

zbMATH Keywords

time delay; Riccati equation; linear quadratic control; stochastic Stackelberg differential game; leader and follower; open-loop Stackelberg strategy

Mathematics Subject Classification ID

91A65: Hierarchical games (including Stackelberg games)

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

91A15: Stochastic games, stochastic differential games

34K50: Stochastic functional-differential equations

34K35: Control problems for functional-differential equations