
A Mean-Field Linear-Quadratic Stochastic Stackelberg Differential Game with one Leader and Two Followers
WANG Guangchen · ZHANG Susu
Journal of Systems Science & Complexity ›› 2020, Vol. 33 ›› Issue (5) : 1383-1401.
A Mean-Field Linear-Quadratic Stochastic Stackelberg Differential Game with one Leader and Two Followers
This paper is concerned with a linear-quadratic (LQ) stochastic Stackelberg differential game with one leader and two followers, where the game system is governed by a mean-field stochastic differential equation (MF-SDE). By maximum principle and verification theorem, the open-loop Stackelberg solution is expressed as a feedback form of the state and its mean with the help of three systems of Riccati equations.
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