Robust backward linear-quadratic differential game and team: a soft-constraint analysis

DOI10.1016/j.sysconle.2023.105533zbMath1520.91062MaRDI QIDQ6174053

Xinwei Feng, Tinghan Xie, Jianhui Huang, Unnamed Author

Publication date: 13 July 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationmodel uncertaintyStackelberg gameteam optimizationsoft-constraint

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Design techniques (robust design, computer-aided design, etc.) (93B51)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Leader-follower stochastic differential game with asymmetric information and applications
• Continuous-time stochastic control and optimization with financial applications
• Linear forward-backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Stochastic controls with terminal contingent conditions
• Mean field linear-quadratic control: uniform stabilization and social optimality
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• A Stackelberg game of backward stochastic differential equations with applications
• Mixed linear quadratic stochastic differential leader-follower game with input constraint
• Social optima of backward linear-quadratic-Gaussian mean-field teams
• Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
• Backward stochastic differential equations and applications to optimal control
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
• Linear-Quadratic Control of Backward Stochastic Differential Equations
• Elements for a Theory of Teams
• A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
• Stochastic Differential Utility
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• A Leader-Follower Stochastic Linear Quadratic Differential Game
• Robust linear quadratic mean field social control: A direct approach
• Social optima in leader-follower mean field linear quadratic control
• Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach
• Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
• Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
• Team Decision Problems
• Team decision theory and information structures in optimal control problems--Part I

This page was built for publication: Robust backward linear-quadratic differential game and team: a soft-constraint analysis