The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

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The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

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Title: The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
Author(s):
Bensoussan, Alain (UT Dallas);
Chen, Shaokuan (UT Dallas);
Sethi, Suresh P. (UT Dallas)
Item Type: article
Keywords: Show Keywords
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.
ISSN: 0363-0129
Persistent Link: http://dx.doi.org/10.1137/140958906
http://hdl.handle.net/10735.1/4959
Bibliographic Citation: Bensoussan, Alain, Shaokuan Chen, and Suresh P. Sethi. 2015. "The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games." SIAM Journal on Control and Optimization 53(4), doi:10.1137/140958906.
Terms of Use: ©2015 Society for Industrial and Applied Mathematics
Sponsors: National Science Foundation (DMS 1303775); Research Grant Council of the HKSAR, (CityU 500113)

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