The maximum principle for global solutions of stochastic Stackelberg differential games
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Publication:5502178
DOI10.1137/140958906zbMATH Open1320.91042arXiv1210.3124OpenAlexW3125172959MaRDI QIDQ5502178FDOQ5502178
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)
Abstract: This paper obtains the maximum principle for both stochastic (global) open-loop and stochastic (global) closed-loop Stackelberg differential games. For the closed-loop case, we use the theory of controlled forward-backward stochastic differential equations to derive the maximum principle for the leader's optimal strategy. In the special case of the open-loop linear quadratic Stackelberg game, we consider the follower's Hamiltonian system as the leader's state equation, derive the related stochastic Riccati equation, and show the existence and uniqueness of the solution to the Riccati equation under appropriate assumptions. However, for the closed-loop linear quadratic Stackelberg game, we can write the related Riccati equation consisting of forward-backward stochastic differential equations, while leaving the existence of its solution as an open problem.
Full work available at URL: https://arxiv.org/abs/1210.3124
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maximum principleforward-backward stochastic differential equationRiccati equationStackelberg differential game
Numerical optimization and variational techniques (65K10) Optimality conditions and duality in mathematical programming (90C46) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)
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