A linear quadratic stochastic Stackelberg differential game with time delay

Weijun Meng; Jingtao Shi

doi:10.3934/mcrf.2021035

Article Contents

2022, Volume 12, Issue 3: 581-609. Doi: 10.3934/mcrf.2021035

This issue Previous Article Inverse optimal control of regime-switching jump diffusions Next Article Cross-constrained variational method and nonlinear Schrödinger equation with partial confinement

A linear quadratic stochastic Stackelberg differential game with time delay

Weijun Meng and
Jingtao Shi^,

School of Mathematics, Shandong University, Jinan 250100, China

^* Corresponding author: Jingtao Shi
^* Corresponding author: Jingtao Shi

Received: December 31, 2020

Revised: February 28, 2021

Early access: June 2021

Published: July 2022

This work is supported by National Key R & D Program of China (Grant No. 2018YFB1305400), National Natural Science Foundations of China (Grant Nos. 11971266, 11831010, 11571205), and Shandong Provincial Natural Science Foundations (Grant Nos. ZR2020ZD24, ZR2019ZD42)

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Abstract

This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into the diffusion term. By introducing two Pseudo-Riccati equations and a special matrix equation, the state feedback representation of the open-loop Stackelberg strategy is derived, under some assumptions. Finally, two examples are given to illustrate the applications of the theoretical results.

Keywords:

Time delay,
stochastic Stackelberg differential game,
leader and follower,
linear quadratic control,
Riccati equation,
open-loop Stackelberg strategy.

Mathematics Subject Classification: Primary: 93E20, 60H10, 49N10; Secondary: 91A15, 91A65, 34K35, 34K50.

Citation:

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Figure 1. Algorithm scheme of the solution to (53)

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Figure 2. The solutions to (51) and (53)

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Figure 3. The solution to (53)

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Figure 4. The optimal strategy

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