Leader-follower stochastic differential game with asymmetric information and applications
From MaRDI portal
(Redirected from Publication:901174)
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.
Recommendations
- An asymmetric information mean-field type linear-quadratic stochastic Stackelberg differential game with one leader and two followers
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- Stackelberg stochastic differential game with asymmetric noisy observations
- Stochastic linear quadratic Stackelberg differential game with overlapping information
- Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
Cites work
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3634142 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 7005721 (Why is no real title available?)
- A Leader-Follower Stochastic Linear Quadratic Differential Game
- A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
- A Zero-Sum Differential Game in a Finite Duration with Switching Strategies
- A maximum principle for SDEs of mean-field type
- A maximum principle for partial information backward stochastic control problems with applications
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- An introduction to stochastic filtering theory.
- Controlled partially observed diffusions with correlated noise
- Differential games of partial information forward-backward doubly SDE and applications
- Dynamic noncooperative game theory
- Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
- Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Maximum principle for differential games of forward-backward stochastic systems with applications
- Maximum principle for stochastic differential games with partial information
- Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
- Stochastic maximum principle in the mean-field controls
- The maximum principle for global solutions of stochastic Stackelberg differential games
- \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
Cited in
(57)- Possibilistic cooperative advertising and pricing games for a two-echelon supply chain
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Infinite horizon Stackelberg differential games with random coefficients under control input constraint
- Pareto-based Stackelberg differential game for stochastic systems with multi-followers
- Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
- Deterministic dynamic Stackelberg games: time-consistent open-loop solution
- Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
- Stackelberg stochastic differential game with asymmetric noisy observations
- A kind of linear‐quadratic Pareto cooperative differential game with partial information
- Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
- LQ control of Itô stochastic system with asymmetric information
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- Global solutions of stochastic Stackelberg differential games under convex control constraint
- Linear-quadratic two-person differential game: Nash game versus Stackelberg game, local information versus global information
- Hierarchical structures and leadership design in mean-field-type games with polynomial cost
- Incentive feedback Stackelberg strategy for the discrete-time stochastic systems
- Incentive feedback Stackelberg strategy for stochastic systems with state-dependent noise
- Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
- Feasible solution to discrete-time linear quadratic stochastic Stackelberg difference game
- Decentralized LQ control and stabilization for Itô systems
- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- Mixed linear quadratic stochastic differential leader-follower game with input constraint
- Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
- Linear quadratic leader-follower stochastic differential games: closed-loop solvability
- Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
- Feedback Stackelberg solution for mean-field type stochastic systems with multiple followers
- Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
- Robust backward linear-quadratic differential game and team: a soft-constraint analysis
- A Stackelberg game of backward stochastic differential equations with applications
- Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps
- Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
- Mixed leadership stochastic differential game in feedback information pattern with applications
- Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
- An asymmetric information mean-field type linear-quadratic stochastic Stackelberg differential game with one leader and two followers
- On minimaxity of follow the leader strategy in the stochastic setting
- A Leader-Follower Stochastic Linear Quadratic Differential Game
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- A linear quadratic stochastic Stackelberg differential game with time delay
- Linear quadratic optimal control for time-delay stochastic system with partial information
- A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
- Stochastic linear quadratic Stackelberg differential game with overlapping information
- A Stackelberg game of backward stochastic differential equations with partial information
- Linear quadratic Gaussian Stackelberg game under asymmetric information patterns
- Existence of \(\alpha\)-robust weak Nash equilibria for leader-follower population games with fuzzy parameters
- Stackelberg stochastic differential games in feedback information pattern with applications
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
- Social optima in leader-follower mean field linear quadratic control
- A general stochastic maximum principle for mean-field controls with regime switching
- Linear-quadratic stochastic Stackelberg differential games with asymmetric information for systems driven by multi-dimensional jump-diffusion processes
- Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- Optimal control for unknown mean-field discrete-time system based on Q-learning
- On forward-backward stochastic differential equations in a domination-monotonicity framework
- A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
This page was built for publication: Leader-follower stochastic differential game with asymmetric information and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q901174)
