SIAM Journal on Control and Optimization, Vol.53, No.4, 1956-1981, 2015
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.
Keywords:Stackelberg differential game;maximum principle;forward-backward stochastic differential equation;Riccati equation