A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
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Publication:6163386
DOI10.1080/00207179.2021.2011423zbMATH Open1519.91058arXiv2104.13528OpenAlexW3216263421MaRDI QIDQ6163386FDOQ6163386
Authors: Zhun Gou, Nan-Jing Huang, Minghui Wang 
Publication date: 26 June 2023
Published in: International Journal of Control (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2104.13528
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mean-field stochastic differential equationStackelberg solutionstochastic Stackelberg differential gamerandom exit time
Differential games (aspects of game theory) (91A23) Hierarchical games (including Stackelberg games) (91A65) Mean field games (aspects of game theory) (91A16)
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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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