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A Stackelberg Game of Backward Stochastic Differential Equations with Applications
16 references·4 citing·39 second hop
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1973On the Stackelberg strategy in nonzero-sum games759 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II340 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation296 cited
  • 2014Stochastic Differential Equations, Backward SDEs, Partial Differential Equations280 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
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  • 2002A Leader-Follower Stochastic Linear Quadratic Differential Game185 cited
  • 2015The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games144 cited
  • 2001Linear-Quadratic Control of Backward Stochastic Differential Equations

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136 cited
  • 2018Linear quadratic mean field Stackelberg differential games133 cited
  • Cited by

    • 2021Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems26 cited
    • 2023Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions24 cited
    • 2022Linear–quadratic stochastic leader–follower differential games for Markov jump-diffusion models23 cited
    • 2021Stackelberg stochastic differential game with asymmetric noisy observations22 cited