Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games
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Publication:4554405
DOI10.1137/17M1158392zbMath1417.91150MaRDI QIDQ4554405
Publication date: 14 November 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
stochastic optimal controllinear-quadratic problemforward-backward stochastic differential equationgeneralized Stackelberg game
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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