A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time
Optimization and Control
2021-06-08 v2 Functional Analysis
Abstract
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching goal is to find the Stackelberg solution of the leader and followers for such a model. By employing the backward induction method, the state equation is divided into two-stage equations. Moreover, by using the maximum principle and the verification theorem, the Stackelberg solution is obtained for such a model.
Keywords
Cite
@article{arxiv.2104.13528,
title = {A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time},
author = {Zhun Gou and Nan-jing Huang and Ming-hui Wang},
journal= {arXiv preprint arXiv:2104.13528},
year = {2021}
}