A linear-quadratic partially observed Stackelberg stochastic differential game with application

DOI10.1016/J.AMC.2021.126819MaRDI QIDQ2668356zbMATH OpenOpenAlexFDO

Authors Yueyang Zheng, Jingtao Shi

Publication date 3 March 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.13961

zbMATH Keywords

stochastic filteringlinear-quadratic controlpartial observationStackelberg equilibriumleader-follower stochastic differential gamestate decompositionbackward separation

Mathematics Subject Classification ID

Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited in

(20)

• Partially-observed bilinear nonzero-sum stochastic differential game with affine-quadratic discounted payoff and application to competitive advertising
• Stackelberg stochastic differential game with asymmetric noisy observations
• scientific article; zbMATH DE number 4156244 (Why is no real title available?)
• scientific article; zbMATH DE number 4079202 (Why is no real title available?)
• Incentive feedback Stackelberg strategy in mean-field type stochastic difference games
• Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
• Partially observed mean-field Stackelberg stochastic differential game with two followers
• Present-biased lobbyists in linear-quadratic stochastic differential games
• Mixed leadership stochastic differential game in feedback information pattern with applications
• An asymmetric information mean-field type linear-quadratic stochastic Stackelberg differential game with one leader and two followers
• Leader-follower stochastic differential game with asymmetric information and applications
• Stochastic linear quadratic Stackelberg differential game with overlapping information
• A Linear Quadratic Partially Observed Stackelberg Stochastic Differential Game with Applications
• A Stackelberg game of backward stochastic differential equations with partial information
• Linear quadratic Gaussian Stackelberg game under asymmetric information patterns
• Stackelberg stochastic differential games in feedback information pattern with applications
• The Generalized Stackelberg Equilibrium of the Two-Person Stopping Game
• Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes
• Adaptive dynamic programming for a nonlinear two-player non-zero-sum differential game with state and input constraints
• Robust control for multiplayer nonzero-sum differential games with switching topology and input delay

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