论文标题
线性二次Stackelberg随机差异游戏：闭环解决性
Linear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability
论文作者
论文摘要
本文涉及一种线性 - 季度stackelberg随机差异游戏的闭环可溶性，该游戏是确定性的。引入了闭环溶解性的概念，该概念需要独立于初始状态。首先解决了追随者的问题，闭环最佳策略的特征是riccati方程，以及对线性向后随机微分方程的调整解决方案。然后，通过交叉耦合的Riccati方程系统获得了领导者非预期闭环最佳策略的必要条件。足够开放，因为实体的完成方法无效。
This paper is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which require to be independent of the initial state. The follower's problem is solved first, and the closed-loop optimal strategy is characterized by a Riccati equation, together with an adapted solution to a linear backward stochastic differential equation. Then the necessary conditions of the existence of the leader's nonanticipating closed-loop optimal strategy is obtained via a system of cross-coupled Riccati equations. The sufficiency is open since the completion-of-square method is invalid.
