Mean-Field Type Leader-Follower Stochastic Differential Game with Asymmetric Information
作者单位：School of Control Science and EngineeringShandong University
会议名称：《第32届中国控制与决策会议》
会议日期：2020年
学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学]
关 键 词：Asymmetric information leader-follower game mean-field stochastic differential equation open-loop Stackelberg solution stochastic maximum principle
摘 要：In this paper,we consider a kind of mean-field type leader-follower stochastic differential game with asymmetric information,where the leader’s information is a sub-σ-algebra of the follower’*** stochastic maximum principle and stochastic filtering technique,we get four Riccati equations and the filtering equation of ***,the Stackelberg equilibrium of feedback form is obtained.