Browsing by Author "Chen, Shaokuan"
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Item The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential GamesBensoussan, Alain; Chen, Shaokuan; Sethi, Suresh P. (UT Dallas); 0000-0003-0743-498X (Bensoussan, A)For stochastic Stackelberg differential games played by a leader and a follower, there are several solution concepts in terms of the players' information sets. In this paper we derive the maximum principle for the leader's global Stackelberg solution under the adapted closed-loop memoryless information structure, where the term global signifies the leader's domination over the entire game duration. As special cases, we study linear quadratic Stackelberg games under both adapted open-loop and adapted closed-loop memoryless information structures, as well as the resulting Riccati equations.