The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games


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.



Conceptual structures (Information theory), Management games, Riccati equation, Stackelberg equilibrium, Stochastic analysis, Maximum principles (Mathematics)

National Science Foundation (DMS 1303775); Research Grant Council of the HKSAR, (CityU 500113)


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