A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
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Publication:6163386
Abstract: In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching goal is to find the Stackelberg solution of the leader and followers for such a model. By employing the backward induction method, the state equation is divided into two-stage equations. Moreover, by using the maximum principle and the verification theorem, the Stackelberg solution is obtained for such a model.
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Cited in
(4)- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- A linear quadratic stochastic Stackelberg differential game with time delay
- A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
- Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions
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