Open AccessLinear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application
Author(s) -
Kai Du,
Zhen Wu
Publication year - 2019
Publication title -
mathematical problems in engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.262
H-Index - 62
eISSN - 1026-7077
pISSN - 1024-123X
DOI - 10.1155/2019/1798585
Subject(s) - stackelberg competition , stochastic differential equation , differential game , representation (politics) , mathematics , field (mathematics) , computer science , mean field theory , mathematical optimization , mathematical economics , pure mathematics , law , physics , quantum mechanics , politics , political science
This paper is concerned with a new kind of Stackelberg differential game of mean-field backward stochastic differential equations (MF-BSDEs). By means of four Riccati equations (REs), the follower first solves a backward mean-field stochastic LQ optimal control problem and gets the corresponding open-loop optimal control with the feedback representation. Then the leader turns to solve an optimization problem for a 1 × 2 mean-field forward-backward stochastic differential system. In virtue of some high-dimensional and complicated REs, we obtain the open-loop Stackelberg equilibrium, and it admits a state feedback representation. Finally, as applications, a class of stochastic pension fund optimization problems which can be viewed as a special case of our formulation is studied and the open-loop Stackelberg strategy is obtained.