2024/01/16 by Yu Si, Si, Yu, Jingtao Shi +1
Economics, Econometrics and Finance · Energy · Physics and Astronomy · #49K45 #49N70 #60H10 #91A23 #93E20 #Advanced Thermodynamics and Statistical Mechanics #Climate Change Policy and Economics #Energy, Environment, and Transportation Policies #FOS: Mathematics #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2401.08112
openalex publication_date 2024/01/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state variables. A distinct feature lies in that, the noisy information available to the leaders and the followers may be asymmetric and have overlapping part. Using a coupled system of Riccati equations, the followers first solve an LQ nonzero-sum stochastic differential Nash game with partial information, and then the leaders solve a partial information LQ nonzero-sum stochastic differential Nash game driven by a conditional mean-field type forward-backward stochastic differential equation (CMF-FBSDE). By maximum principle, completion of squares and decoupling methods, the state-estimate feedback representation of the Stackelberg-Nash equilibrium is obtained.