The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
| dc.contributor.ORCID | 0000-0003-0743-498X (Bensoussan, A) | en_US |
| dc.contributor.author | Bensoussan, Alain | en_US |
| dc.contributor.author | Chen, Shaokuan | en_US |
| dc.contributor.author | Sethi, Suresh P. (UT Dallas) | en_US |
| dc.date.accessioned | 2016-07-21T19:37:03Z | |
| dc.date.available | 2016-07-21T19:37:03Z | |
| dc.date.created | 2015-07-30 | en_US |
| dc.description.abstract | 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. | en_US |
| dc.description.sponsorship | National Science Foundation (DMS 1303775); Research Grant Council of the HKSAR, (CityU 500113) | en_US |
| dc.identifier.bibliographicCitation | Bensoussan, Alain, Shaokuan Chen, and Suresh P. Sethi. 2015. "The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games." SIAM Journal on Control and Optimization 53(4), doi:10.1137/140958906. | en_US |
| dc.identifier.issn | 0363-0129 | en_US |
| dc.identifier.issue | 4 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10735.1/4959 | |
| dc.identifier.volume | 53 | en_US |
| dc.relation.uri | http://dx.doi.org/10.1137/140958906 | en_US |
| dc.rights | ©2015 Society for Industrial and Applied Mathematics | en_US |
| dc.source.journal | SIAM Journal on Control and Optimization | en_US |
| dc.subject | Conceptual structures (Information theory) | en_US |
| dc.subject | Management games | en_US |
| dc.subject | Riccati equation | en_US |
| dc.subject | Stackelberg equilibrium | en_US |
| dc.subject | Stochastic analysis | en_US |
| dc.subject | Maximum principles (Mathematics) | en_US |
| dc.title | The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games | en_US |
| dc.type.genre | article | en_US |