Work

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

Year: 2015

Type: article

Abstract: For stochastic Stackelberg differential games played by a leader and a follower, there are several solution concepts in terms of the players' information sets. In this paper we derive the maximum principle for the leader's global Stackelberg solution under the adapted closed-loop memoryless information structure, where the term global signifies the leader's domination over the entire game duration. As special cases, we study linear quadratic Stackelberg games under both adapted open-loop and adapted closed-loop memoryless information structures, as well as the resulting Riccati equations.

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/140958906

Authors: Alain Bensoussan, Shaokuan Chen, Suresh P. Sethi

Language: English

Topic: Game Theory and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funders: National Research Foundation, National Natural Science Foundation of China, National Research Foundation of Korea, Ministry of Education, Science and Technology, Hong Kong Polytechnic University

Awards: G4476238879, 带跳的倒向随机发展方程及其应用研究

OpenAlex ID: W2950156793

FWCI: 10.83

Cites: 39

Cited by: 144

Related to: 10