THE MAXIMUM PRINCIPLE FOR GLOBAL SOLUTIONS OF STOCHASTIC STACKELBERG DIFFERENTIAL GAMES

被引：106

作者：

Bensoussan, Alain ^{[1
,2
]}

Chen, Shaokuan ^{[1
]}

Sethi, Suresh P. ^{[1
]}

机构：

[1] Univ Texas Dallas, Naveen Jindal Sch Management, Richardson, TX 75080 USA

[2] City Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2015年 / 53卷 / 04期

基金：

美国国家科学基金会;

关键词：

Stackelberg differential game; maximum principle; forward-backward stochastic differential equation; Riccati equation; INITIAL-TERMINAL CONDITIONS; EQUATIONS; STRATEGIES; SYSTEMS; MODELS;

D O I：

10.1137/140958906

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：1956 / 1981

页数：26

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