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Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games

  • Alain Bensoussan
  • Shaokuan Chen
  • Suresh P.  Sethi
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 198)

Abstract

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 Hamiltonian. As an example, we consider a linear quadratic problem, obtain the corresponding algebraic Riccati equation, and provide its solution in the scalar case.

Keywords

Differential games Feedback Stackelberg equilibrium Riccati equation Infinite horizon 

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Alain Bensoussan
    • 1
    • 2
    • 3
  • Shaokuan Chen
    • 4
  • Suresh P.  Sethi
    • 4
  1. 1.International Center for Decision and Risk Analysis, Naveen Jindal School of ManagementUniversity of Texas at DallasRichardsonUSA
  2. 2.Department of Systems Engineering and Engineering ManagementCity University of Hong KongKowloonHong Kong
  3. 3.Graduate Department of Financial EngineeringAjou UniversitySuwonSouth Korea
  4. 4.Naveen Jindal School of ManagementUniversity of Texas at DallasRichardsonUSA

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