2019/05/23 by Kehan Si, Si, Kehan, Jianhui Huang +3 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1905.09564
openalex publication_date 2019/05/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider a controlled linear-quadratic (LQ) large-population system with mixture of three types agents: major leader, minor leaders and minor followers. The Stackelberg-Nash-Cournot (SNC) approximate equilibrium is studied by a major-minor mean-field game (MFG) coupled with a leader-follower Stackelberg game. By variational method, the SNC approximate equilibrium strategy can be represented by some forward-backward-stochastic-differential-equations (FBSDEs) in the open-loop sense. And we pay great effort to give the feedback form of the open-loop strategy by some Riccati equations.