Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098915 | Journal of Economic Dynamics and Control | 2010 | 17 Pages |
Abstract
Envelope theorems are established for locally differentiable Stackelberg equilibria of a general class of finite horizon differential games with an open-loop information structure. It is shown that the follower's envelope results agree in form with those of any player in an open-loop Nash equilibrium, while those of the leader differ. An unanticipated conclusion is that the costate vector of the leader-but not that of the follower-corresponding to the state vector of the differential game may be legitimately interpreted as the shadow value of the state vector for time-inconsistent open-loop Stackelberg equilibria. Surprisingly, the same cannot be said for time-consistent open-loop Stackelberg equilibria.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Robert A. Van Gorder, Michael R. Caputo,