A Leader-Follower Stochastic Linear Quadratic Differential Game
From MaRDI portal
Publication:4785671
DOI10.1137/S0363012901391925zbMath1039.93070OpenAlexW2029794338MaRDI QIDQ4785671
Publication date: 5 January 2003
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012901391925
controlled diffusionlinear-quadratic control problemstochastic Riccati equationFBSDEleader-follower stochastic differential gameforward-backward SDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)
Related Items
Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems, Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games, Incentive feedback Stackelberg strategy for stochastic systems with state-dependent noise, Stackelberg stochastic differential game with asymmetric noisy observations, Backward-forward linear-quadratic mean-field Stackelberg games, Optimal actuator location of minimum norm controls for heat equation with general controlled domain, Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games, ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER, Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach, A linear quadratic stochastic Stackelberg differential game with time delay, Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints, A linear-quadratic partially observed Stackelberg stochastic differential game with application, Pareto-based Stackelberg differential game for stochastic systems with multi-followers, Two Multiobjective Problems for Stochastic Degenerate Parabolic Equations, A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach, Deterministic dynamic Stackelberg games: time-consistent open-loop solution, Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon, Infinite horizon Stackelberg differential games with random coefficients under control input constraint, Incentive feedback Stackelberg strategy for the discrete-time stochastic systems, Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems, Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps, Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems, A class of optimal control problems of forward-backward systems with input constraint, Optimal linear closed-loop Stackelberg strategy with asymmetric information, Leader-follower stochastic differential game with asymmetric information and applications, Robust backward linear-quadratic differential game and team: a soft-constraint analysis, Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem, Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions, Mixed leadership stochastic differential game in feedback information pattern with applications, A new feedback form of open-loop Stackelberg strategy in a general linear-quadratic differential game, Maximum principle for differential games of forward-backward stochastic systems with applications, Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games, General linear forward and backward stochastic difference equations with applications, Linear quadratic mean field Stackelberg differential games, A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information, Linear quadratic nonzero sum differential games with asymmetric information, Stability and linear quadratic differential games of discrete-time Markovian jump linear systems with state-dependent noise, A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers, A Stackelberg game of backward stochastic differential equations with applications, Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise, Statistical Stackelberg game control: open-loop minimal cost variance case, Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents, Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations, Mixed linear quadratic stochastic differential leader-follower game with input constraint, A hybrid stochastic differential reinsurance and investment game with bounded memory, Global solutions of stochastic Stackelberg differential games under convex control constraint, Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework, Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance, Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps, A mixed linear quadratic optimal control problem with a controlled time horizon, Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application, Mean-field linear-quadratic stochastic differential games in an infinite horizon, A Stackelberg game of backward stochastic differential equations with partial information, A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market, Linear-quadratic optimal control for backward stochastic differential equations with random coefficients, Social optima in leader-follower mean field linear quadratic control, The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games, An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach, Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information, Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games, Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems, A Stackelberg reinsurance–investment game with asymmetric information and delay, One kind of linear-quadratic zero-sum stochastic differential game with jumps, Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models, Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game, Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model, Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance, On forward-backward stochastic differential equations in a domination-monotonicity framework
