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FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND LINEAR-QUADRATIC GENERALIZED STACKELBERG GAMES.
- Source :
-
SIAM Journal on Control & Optimization . 2018, Vol. 56 Issue 6, p4148-480. 33p. - Publication Year :
- 2018
-
Abstract
- A multilevel self-similar domination-monotonicity structure is proposed, and a kind of coupled forward-backward stochastic differential equations (FBSDEs) with such structure is proved to be uniquely solvable. Then, this kind of FBSDEs is used to characterize the unique equilibrium of a linear-quadratic generalized Stackelberg game with multilevel hierarchy in a closed form. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 56
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 133715682
- Full Text :
- https://doi.org/10.1137/17M1158392