Article ID Journal Published Year Pages File Type
5002332 IFAC-PapersOnLine 2016 5 Pages PDF
Abstract
This paper studies a kind of linear-quadratic leader-follower stochastic differential game, where we assume that the leader's information is a sub-σ-algebra of the follower's. By the maximum principle and stochastic filtering, the feedback Stackelberg equilibrium is derived.
Keywords
Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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A New Kind of Linear-Quadratic Leader-Follower Stochastic Differential Game*
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