An asymmetric information mean‐field type linear‐quadratic stochastic Stackelberg differential game with one leader and two followers

2020 ◽  
Vol 41 (4) ◽  
pp. 1034-1051
Author(s):  
Guangchen Wang ◽  
Yu Wang ◽  
Susu Zhang
Keyword(s):  
Asymmetric Information ◽  
Differential Game ◽  
Mean Field ◽  
Linear Quadratic ◽  
Field Type ◽  
Stackelberg Differential Game

scholarly journals Linear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application

2019 ◽  
Vol 2019 ◽  
pp. 1-17 ◽  
Author(s):  
Kai Du ◽  
Zhen Wu
Keyword(s):  
Optimal Control ◽  
Differential System ◽  
Optimization Problems ◽  
Stackelberg Game ◽  
Mean Field ◽  
Open Loop ◽  
Stackelberg Equilibrium ◽  
Linear Quadratic ◽  
Stackelberg Differential Game ◽  
Lq Optimal Control

This paper is concerned with a new kind of Stackelberg differential game of mean-field backward stochastic differential equations (MF-BSDEs). By means of four Riccati equations (REs), the follower first solves a backward mean-field stochastic LQ optimal control problem and gets the corresponding open-loop optimal control with the feedback representation. Then the leader turns to solve an optimization problem for a 1×2 mean-field forward-backward stochastic differential system. In virtue of some high-dimensional and complicated REs, we obtain the open-loop Stackelberg equilibrium, and it admits a state feedback representation. Finally, as applications, a class of stochastic pension fund optimization problems which can be viewed as a special case of our formulation is studied and the open-loop Stackelberg strategy is obtained.

Co-Opetitive Linear-Quadratic Mean-Field-Type Games

2020 ◽  
Vol 50 (12) ◽  
pp. 5089-5098 ◽  
Author(s):  
Julian Barreiro-Gomez ◽  
Tyrone E. Duncan ◽  
Hamidou Tembine
Keyword(s):  
Mean Field ◽  
Linear Quadratic ◽  
Quadratic Mean ◽  
Field Type
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