Leader-follower stochastic differential game with asymmetric information and applications
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Publication:901174
DOI10.1016/J.AUTOMATICA.2015.10.011zbMATH Open1329.93157arXiv1509.03982OpenAlexW2181123679MaRDI QIDQ901174FDOQ901174
Authors: Guangchen Wang, Jie Xiong, Jingtao Shi 
Publication date: 23 December 2015
Published in: Automatica (Search for Journal in Brave)
Abstract: This paper is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub--algebra of that available to the leader. Such kind of game problem has wide applications in finance, economics and management engineering such as newsvendor problems, cooperative advertising and pricing problems. Stochastic maximum principles and verification theorems with partial information are obtained, to represent the Stackelberg equilibrium. As applications, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. It is shown that the open-loop Stackelberg equilibrium admits a state feedback representation if some system of Riccati equations is solvable.
Full work available at URL: https://arxiv.org/abs/1509.03982
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filteringasymmetric informationconditional mean-field forward-backward stochastic differential equationleader-follower stochastic differential gameopen-loop Stackelberg equilibriumpartial information linear-quadratic control
Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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