A Linear Quadratic Stochastic Stackelberg Differential Game with Time Delay
Optimization and Control
2020-12-29 v1
Abstract
This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into the diffusion term. By introducing two Pseudo-Riccati equations and a special matrix equation, the state feedback representation of the open-loop Stackelberg strategy is derived, under some assumptions. Finally, two examples are given to illustrate the applications of the theoretical results.
Cite
@article{arxiv.2012.14145,
title = {A Linear Quadratic Stochastic Stackelberg Differential Game with Time Delay},
author = {Weijun Meng and Jingtao Shi},
journal= {arXiv preprint arXiv:2012.14145},
year = {2020}
}
Comments
32 pages, 6 figures