Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions

DOI10.1016/J.AUTOMATICA.2023.111072MaRDI QIDQ6175599zbMATH OpenFDO

Authors

Publication date 24 July 2023

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.00347

zbMATH Keywords

leader-follower gamelinear quadratic problemMarkov chainmean-field interactionRiccati equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Hierarchical games (including Stackelberg games) (91A65)

Abstract: In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are included in the state equation and cost functionals. Based on stochastic maximum principles (SMPs), the follower's problem and the leader's problem are solved sequentially and an open-loop Stackelberg equilibrium is obtained. Further, with the help of the so-called four-step scheme, the corresponding Hamiltonian systems for the two players are decoupled and then the open-loop Stackelberg equilibrium admits a state feedback representation if some new-type Riccati equations are solvable.

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Cited in

(24)

• Linear quadratic mean field Stackelberg differential games
• Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
• Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
• A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
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• A Leader-Follower Stochastic Linear Quadratic Differential Game
• Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
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