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Linear-quadratic stochastic Stackelberg differential game with asymmetric information
Shi, Jingtao; Wang, Guangchen; Xiong, Jie
2017-09
Source PublicationSCIENCE CHINA-INFORMATION SCIENCES
ISSN1674-733X
Volume60Issue:9
AbstractThis paper is concerned with a linear-quadratic stochastic Stackelberg differential game, where players have asymmetric roles, with one leader and one follower in the context of two-person game. It is required that the information available to the follower is a sub-sigma-algebra of the one of the leader. By maximum principle and optimal filtering, a feedback Stackelberg equilibrium of the game is given. A special example is used to elaborate the result.
Keywordstochastic Stackelberg differential game linear-quadratic control asymmetric information conditional mean-field forward-backward stochastic differential equation optimal filtering
DOI10.1007/s11432-016-0654-y
URLView the original
Indexed BySCI
Language英语
WOS Research AreaComputer Science ; Engineering
WOS SubjectComputer Science, Information Systems ; Engineering, Electrical & Electronic
WOS IDWOS:000412062700002
PublisherSCIENCE PRESS
The Source to ArticleWOS
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Cited Times [WOS]:4   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Recommended Citation
GB/T 7714
Shi, Jingtao,Wang, Guangchen,Xiong, Jie. Linear-quadratic stochastic Stackelberg differential game with asymmetric information[J]. SCIENCE CHINA-INFORMATION SCIENCES,2017,60(9).
APA Shi, Jingtao,Wang, Guangchen,&Xiong, Jie.(2017).Linear-quadratic stochastic Stackelberg differential game with asymmetric information.SCIENCE CHINA-INFORMATION SCIENCES,60(9).
MLA Shi, Jingtao,et al."Linear-quadratic stochastic Stackelberg differential game with asymmetric information".SCIENCE CHINA-INFORMATION SCIENCES 60.9(2017).
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