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A Kind of Stochastic Linear-Quadratic Stackelberg Differential Game with Overlapping Information
Shi, Jingtao; Wang, Guangchen; Xiong, Jie; Liu, T; Zhao, Q
2017
Conference NamePROCEEDINGS OF THE 36TH CHINESE CONTROL CONFERENCE (CCC 2017)
Pages1799-1804
Publication Place345 E 47TH ST, NEW YORK, NY 10017 USA
PublisherIEEE
AbstractThis paper is concerned with a kind of stochastic linear-quadratic Stackelberg differential game with overlapping information. Here the term "overlapping" means that the follower's and the leader's information have some joint part, while they have no inclusion relation. Optimal controls of the follower and the leader's are proved by the stochastic maximum principle, the direct calculation of the derivative of the cost functional and stochastic filtering. A new system of Riccati equations is introduced to represent the state feedback of the Stackelberg equilibrium strategy.
KeywordStackelberg differential game stochastic linear-quadratic optimal control overlapping information maximum principle stochastic filtering
URLView the original
Indexed ByCPCI
Language英语
WOS Research AreaAutomation & Control Systems ; Computer Science ; Engineering
WOS SubjectAutomation & Control Systems ; Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic
WOS IDWOS:000432014402091
The Source to ArticleWOS
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Document TypeConference paper
CollectionUniversity of Macau
Recommended Citation
GB/T 7714
Shi, Jingtao,Wang, Guangchen,Xiong, Jie,et al. A Kind of Stochastic Linear-Quadratic Stackelberg Differential Game with Overlapping Information[C]. 345 E 47TH ST, NEW YORK, NY 10017 USA:IEEE,2017:1799-1804.
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