Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions

卷:154

Article

关键词: MAXIMUM PRINCIPLE;    EQUATIONS;    INFORMATION;    MODEL;   

DOI  :  10.1016/j.automatica.2023.111072

来源: SCIE

【 摘 要 】

In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are included in the state equation and cost functionals. Based on stochastic maximum principles (SMPs), the follower's problem and the leader's problem are solved sequentially and an open-loop Stackelberg equilibrium is obtained. Further, with the help of the so-called four-step scheme, the corresponding Hamiltonian systems for the two players are decoupled and then the open-loop Stackelberg equilibrium admits a state feedback representation if some new-type Riccati equations are solvable.(c) 2023 Elsevier Ltd. All rights reserved.

【 授权许可】

Free