The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

For stochastic Stackelberg differential games played by a leader and a follower, there are several solution concepts in terms of the players' information sets. In this paper we derive the maximum principle for the leader's global Stackelberg solution under the adapted closed-loop memoryless information structure, where the term global signifies the leader's domination over the entire game duration. As special cases, we study linear quadratic Stackelberg games under both adapted open-loop and adapted closed-loop memoryless information structures, as well as the resulting Riccati equations

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Year of publication:	2015
Authors:	Bensoussan, Alain
Other Persons:	Chen, Shaokuan (contributor) ; Sethi, Suresh (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Spieltheorie \| Game theory \| Mathematische Optimierung \| Mathematical programming

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