The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

DOI10.1137/140958906zbMath1320.91042arXiv1210.3124OpenAlexW3125172959MaRDI QIDQ5502178

Shaokuan Chen, Suresh P. Sethi, Alain Bensoussan

Publication date: 18 August 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.3124

zbMATH Keywords

maximum principleRiccati equationforward-backward stochastic differential equationStackelberg differential game

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Numerical optimization and variational techniques (65K10) Optimality conditions and duality in mathematical programming (90C46) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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, Stackelberg stochastic differential game with asymmetric noisy observations, Backward-forward linear-quadratic mean-field Stackelberg games, 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 Stackelberg game under asymmetric information patterns, A linear-quadratic partially observed Stackelberg stochastic differential game with application, Pareto-based Stackelberg differential game for stochastic systems with multi-followers, Deterministic dynamic Stackelberg games: time-consistent open-loop solution, Infinite horizon Stackelberg differential games with random coefficients under control input constraint, Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps, Optimal linear closed-loop Stackelberg strategy with asymmetric information, Leader-follower stochastic differential game with asymmetric information and applications, Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem, 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, Incentive Stackelberg Games for Stochastic Systems, Linear quadratic mean field Stackelberg differential games, 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, Hierarchical structures and leadership design in mean-field-type games with polynomial cost, 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, Infinite horizon linear-quadratic Stackelberg games for discrete-time stochastic systems, A hybrid stochastic differential reinsurance and investment game with bounded memory, Global solutions of stochastic Stackelberg differential games under convex control constraint, A review of dynamic Stackelberg game models, Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework, Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application, A Stackelberg game of backward stochastic differential equations with partial information, Feedback Stackelberg--Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising, Self-consistent feedback Stackelberg equilibria for infinite horizon stochastic games, 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, 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, On forward-backward stochastic differential equations in a domination-monotonicity framework

Cites Work

• Cooperative advertising in a dynamic retail market oligopoly
• Adapted solution of a backward stochastic differential equation
• Contract theory in continuous-time models
• Sufficient conditions for Stackelberg and Nash strategies with memory
• Supply chain games: Operations management and risk valuation
• Team-optimal closed-loop Stackelberg strategies in hierarchical control problems
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Optimal advertising and pricing in a dynamic durable goods supply chain
• Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
• Additional aspects of the Stackelberg strategy in nonzero-sum games
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Stochastic Hamilton–Jacobi–Bellman Equations
• Closed-loop Stackelberg strategies with applications in the optimal control of multilevel systems
• Nonclassical control problems and Stackelberg games
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• A Leader-Follower Stochastic Linear Quadratic Differential Game
• Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games
• Forward-backward stochastic differential equations with mixed initial-terminal conditions
• Arbitrage Theory in Continuous Time
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item