Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games

We present a sufficient condition for a feedback Stackelberg equilibrium of a stochastic differential game on an infinite horizon. This condition gives rise to a system of elliptic partial differential equations involving a static Stackelberg game at the level of Lagrangian. As an example, we consider a linear quadratic problem, obtain the corresponding algebraic Riccati equation, and provide its solution in the scalar case

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Year of publication:	2014
Authors:	Bensoussan, Alain ; Chen, Shaokuan ; Sethi, Suresh
Publisher:	[S.l.] : SSRN
Subject:	Mathematik \| Mathematics \| Stochastisches Spiel \| Stochastic game \| Dynamische Optimierung \| Dynamic programming \| Stackelberg-Wettbewerb \| Stackelberg competition \| Theorie \| Theory

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2012 erstellt
Other identifiers:	10.2139/ssrn.2151533 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C72 - Noncooperative Games ; C73 - Stochastic and Dynamic Games ; M30 - Marketing and Advertising. General ; M11 - Production Management ; M20 - Business Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014040108