Linear-quadratic stochastic Stackelberg differential game with asymmetric information

作     者：Jingtao SHI Guangchen WANG Jie XIONG 

作者机构：School of Mathematics Shandong University School of Control Science and Engineering Shandong University Department of Mathematics University of Macau 

出 版 物：《Science China(Information Sciences)》 (中国科学:信息科学(英文版))

年 卷 期：2017年第60卷第9期

页      面：211-225页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：the financial support from National Natural Science Fundation of China (Grant No. 11571205) Natural Science Fund for Distinguished Young Scholars of Shandong Province of China (Grant No. JQ201401) the financial support from National Natural Science Fundation for Excellent Young Scholars of China (Grant No. 61422305) National Natural Science Fundation of China (Grant No. 11371228) Natural Science Fund for Distinguished Young Scholars of Shandong Province of China (Grant No. JQ201418) Research Fund for the Taishan Scholar Project of Shandong Province of China the financial support from Macau Science and Technology Development Fund (Grant No. FDCT 025/2016/A1) Multi-Year Research Grant of the University of Macau (Grant No. MYRG2014-00015-FST) 

主　　题：stochastic Stackelberg differential game linear-quadratic control asymmetric information condi tional mean-field forward-backward stochastic differential equation optimal filtering 

摘      要：This paper is concerned with a linear-quadratic stochastic Stackelberg differential game, where players have asymmetric roles, with one leader and one follower in the context of two-person game. It is required that the information available to the follower is a sub-σ-algebra of the one of the leader. By maximum principle and optimal filtering, a feedback Stackelberg equilibrium of the game is given. A special example is used to elaborate the result.