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Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems
16 references·1 citing·36 second hop
Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems (2021)Linear-Quadratic Stochastic Stackelberg D…Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions (2020)Linear-Quadratic Time-Inconsi…Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients (2020)Backward Stochastic Riccati E…A Stackelberg Game of Backward Stochastic Differential Equations with Applications (2019)A Stackelberg Game of Backwar…Linear quadratic mean field Stackelberg differential games (2018)Linear quadratic mean field S…Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games (2018)Forward-Backward Stochastic D…An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game (2018)An Open-Loop Stackelberg Stra…A leader-follower stochastic linear quadratic differential game with time delay (2018)A leader-follower stochastic …The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games (2015)The Maximum Principle for Glo…Leader–follower stochastic differential game with asymmetric information and applications (2015)Leader–follower stochastic di…A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (2012)A Stochastic Maximum Principl…A Stackelberg Network Game with a Large Number of Followers (2002)A Stackelberg Network Game wi…A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)A Leader-Follower Stochastic …Existence and Uniqueness of Open-Loop Stackelberg Equilibria in Linear-Quadratic Differential Games (2001)Existence and Uniqueness of O…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Nonclassical control problems and Stackelberg games (1979)Nonclassical control problems…Closed-loop Stackelberg strategies with applications in the optimal control of multilevel systems (1979)Closed-loop Stackelberg strat…Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions (2023)Linear quadratic leader–follo…Dynamic Noncooperative Game Theory (1982)Competitive routing in multiuser communication networks (1993)Large deviations, the shape of the loss curve, and economies of scale in large multiplexers (1995)Optimal Nonlinear Pricing for a Monopolistic Network Service Provider with Complete and Incomplete Information (2007)Network Games: Theory, Models, and Dynamics (2011)Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework (2019)Option pricing when underlying stock returns are discontinuous (1976)Stochastic Integration and Differential Equations (2005)The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem (2013)Numerical solution of stochastic differential equations (2016)A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type (2018)Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Stackelburg solution for two-person games with biased information patterns (1972)Additional aspects of the Stackelberg strategy in nonzero-sum games (1973)On the Stackelberg strategy in nonzero-sum games (1973)Closed-loop Stackelberg solution to a multistage linear-quadratic game (1981)Information structure, Stackelberg games, and incentive controllability (1981)Existence and derivation of optimal affine incentive schemes for Stackelberg games with partial information: a geometric approach† (1982)Adapted solution of a backward stochastic differential equation (1990)Stochastic controls : Hamiltonian systems and HJB equations (1999)Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions (2010)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Marktform und Gleichgewicht. (1935)A control-theoretic view on incentives (1982)Stochastic Differential Equations: An Introduction with Applications. (1987)Differential Games in Economics and Management Science (2000)An asymmetric information mean‐field type linear‐quadratic stochastic Stackelberg differential game with one leader and two followers (2020)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Linear quadratic mean field games with a major player: The multi-scale approach (2019)Linear–quadratic mean field stochastic zero-sum differential games (2020)Backward Stochastic Differential Equations in Finance (1997)ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018)
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References

  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1979Closed-loop Stackelberg strategies with applications in the optimal control of multilevel systems206 cited
  • 2002A Leader-Follower Stochastic Linear Quadratic Differential Game185 cited
  • 2015The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games144 cited
  • 2002A Stackelberg Network Game with a Large Number of Followers135 cited
  • 2018Linear quadratic mean field Stackelberg differential games133 cited
  • 2015Leader–follower stochastic differential game with asymmetric information and applications119 cited
  • 2018An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game110 cited
  • 1979Nonclassical control problems and Stackelberg games107 cited
  • 2012A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance100 cited
  • 2001Existence and Uniqueness of Open-Loop Stackelberg Equilibria in Linear-Quadratic Differential Games70 cited
  • 2018A leader-follower stochastic linear quadratic differential game with time delay64 cited
  • 2018Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games48 cited
  • 2020Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions

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36 cited
  • 2019A Stackelberg Game of Backward Stochastic Differential Equations with Applications33 cited
  • 2020Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients28 cited
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    • 2023Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions24 cited