A Leader-Follower Stochastic Linear Quadratic Differential Game

DOI10.1137/S0363012901391925zbMATH Open1039.93070OpenAlexW2029794338MaRDI QIDQ4785671FDOQ4785671

Authors: Jiongmin Yong 

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

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zbMATH Keywords

linear-quadratic control problemstochastic Riccati equationcontrolled diffusionFBSDEleader-follower stochastic differential gameforward-backward SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

Cited In (84)

• Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
• Stackelberg stochastic differential game with asymmetric noisy observations
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• Deterministic dynamic Stackelberg games: time-consistent open-loop solution
• Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
• Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
• Global solutions of stochastic Stackelberg differential games under convex control constraint
• The maximum principle for global solutions of stochastic Stackelberg differential games
• Linear quadratic differential games with mixed leadership: the open-loop solution
• Incentive feedback Stackelberg strategy for the discrete-time stochastic systems
• Statistical Stackelberg game control: open-loop minimal cost variance case
• Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
• Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
• Incentive feedback Stackelberg strategy for stochastic systems with state-dependent noise
• Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
• Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
• Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
• Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
• Mixed linear quadratic stochastic differential leader-follower game with input constraint
• Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
• Backward-forward linear-quadratic mean-field Stackelberg games
• One kind of linear-quadratic zero-sum stochastic differential game with jumps
• General linear forward and backward stochastic difference equations with applications
• Mean-field linear-quadratic stochastic differential games in an infinite horizon
• A mixed linear quadratic optimal control problem with a controlled time horizon
• A Stackelberg game of backward stochastic differential equations with applications
• Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps
• Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
• On minimaxity of follow the leader strategy in the stochastic setting
• Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
• A linear-quadratic partially observed Stackelberg stochastic differential game with application
• Leader-follower stochastic differential game with asymmetric information and applications
• Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon
• Maximum principle for differential games of forward-backward stochastic systems with applications
• A linear quadratic stochastic Stackelberg differential game with time delay
• Stochastic linear quadratic Stackelberg differential game with overlapping information
• A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
• Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
• Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
• A Stackelberg game of backward stochastic differential equations with partial information
• A Stackelberg reinsurance-investment game with asymmetric information and delay
• Social optima in leader-follower mean field linear quadratic control
• Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
• A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
• A new feedback form of open-loop Stackelberg strategy in a general linear-quadratic differential game
• A hybrid stochastic differential reinsurance and investment game with bounded memory
• Optimal actuator location of minimum norm controls for heat equation with general controlled domain
• Linear quadratic mean field Stackelberg differential games
• Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
• An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
• Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
• On forward-backward stochastic differential equations in a domination-monotonicity framework
• On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
• A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
• Stability and linear quadratic differential games of discrete-time Markovian jump linear systems with state-dependent noise
• Linear quadratic nonzero sum differential games with asymmetric information
• Stackelberg equilibrium with social optima in linear-quadratic-Gaussian mean-field system
• Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
• Linear-quadratic two-person differential game: Nash game versus Stackelberg game, local information versus global information
• Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
• Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
• Feasible solution to discrete-time linear quadratic stochastic Stackelberg difference game
• Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
• Linear quadratic leader-follower stochastic differential games: closed-loop solvability
• Feedback Stackelberg solution for mean-field type stochastic systems with multiple followers
• Incentive feedback Stackelberg strategy in mean-field type stochastic difference games
• Explicit solution to delayed forward and backward stochastic differential equations
• Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
• Two Multiobjective Problems for Stochastic Degenerate Parabolic Equations
• Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
• Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
• Partially observed mean-field Stackelberg stochastic differential game with two followers
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• A class of optimal control problems of forward-backward systems with input constraint
• Robust backward linear-quadratic differential game and team: a soft-constraint analysis
• Mixed leadership stochastic differential game in feedback information pattern with applications
• Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
• Optimal linear closed-loop Stackelberg strategy with asymmetric information
• Stackelberg stochastic differential games in feedback information pattern with applications
• Linear-Quadratic Stochastic Stackelberg Games of N Players for Time-Delay Systems and Related FBSDEs
• Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes
• Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games
• Infinite horizon Stackelberg differential games with random coefficients under control input constraint

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