2023/02/19 by Samir Aberkane, Aberkane, Samir, Vasile Drǎgan +1
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Electrical engineering #Optimization and Variational Analysis #Quantum chaos and dynamical systems #Stochastic processes and financial applications #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · pdf · doi:10.48550/arxiv.2302.09609
openalex publication_date 2023/02/19 · openalex created_date 2023/02/22 · openalex updated_date 2026/07/28
In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which achieve an open-loop Stackelberg equilibrium in terms of the global solutions of a system of coupled matrix differential Riccati-type equations. In the second part of this paper, we obtain necessary and sufficient conditions for the solvability of the involved coupled generalized Riccati equations.