A New Kind of Linear-Quadratic Leader-Follower Stochastic Differential Game**Shi acknowledges the financial support from the National Natural Science Funds of China (11301011, 11201264, 11571205) and the Natural Science Fund for Distinguished Young Scholars of Shandong Province of China (JQ201401). Wang acknowledges the financial support from the National Natural Science Fund for Excellent Young Scholars of China (61422305), the National Natural Science Fund of China (11371228), the Natural Science Fund for Distinguished Young Scholars of Shandong Province of China (JQ201418), and the Research Fund for the Taishan Scholar Project of Shandong Province of China.
Jingtao Shi, Guangchen Wang · IFAC-PapersOnLine · 2016
: This paper studies a kind of linear-quadratic leader-follower stochastic differential game, where we assume that the leader’s information is a sub-σ-algebra of the follower’s. By the maximum principle and stochastic filtering, the feedback Stackelberg equilibrium is derived.