1. ZERO-SUM STACKELBERG STOCHASTIC LINEAR-QUADRATIC DIFFERENTIAL GAMES.
- Author
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JINGRUI SUN, HANXIAO WANG, and JIAQIANG WEN
- Subjects
- *
DIFFERENTIAL games , *STOCHASTIC control theory , *RICCATI equation , *NASH equilibrium , *STATE feedback (Feedback control systems) - Abstract
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ) diferential game over fnite horizons. Under a fairly weak condition, the Stackelberg equilibrium is explicitly obtained by frst solving a forward stochastic LQ optimal control problem (SLQ problem) and then a backward SLQ problem. Two Riccati equations are derived for constructing the Stackel- berg equilibrium. An interesting fnding is that the diference of these two Riccati equations coincides with the Riccati equation associated with the zero-sum Nash stochastic LQ diferential game, which implies that under the uniform convexity-concavity condition, the Stackelberg equilibrium and the Nash equilibrium are actually identical. Consequently, the Stackelberg equilibrium admits a linear state feedback representation, and the Nash game can be solved in a leader-follower manner. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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