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A Mean-Field Linear-Quadratic Stochastic Stackelberg Differential Game with one Leader and Two Followers
Journal of Systems Science and Complexity ( IF 2.6 ) Pub Date : 2020-10-08 , DOI: 10.1007/s11424-020-9025-z
Guangchen Wang , Susu Zhang

This paper is concerned with a linear-quadratic (LQ) stochastic Stackelberg differential game with one leader and two followers, where the game system is governed by a mean-field stochastic differential equation (MF-SDE). By maximum principle and verification theorem, the open-loop Stackelberg solution is expressed as a feedback form of the state and its mean with the help of three systems of Riccati equations.



中文翻译:

具有一个领导者和两个跟随者的均场线性二次随机Stackelberg微分游戏

本文涉及具有一个领导者和两个跟随者的线性二次(LQ)随机Stackelberg微分游戏,其中该游戏系统由均场随机微分方程(MF-SDE)控制。根据最大原理和验证定理,借助三个Riccati方程组,开环Stackelberg解表示为状态及其均值的反馈形式。

更新日期:2020-10-30
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