Pareto-based Stackelberg differential game for stochastic systems with multi-followers

Yu Wang and Zhiguo Yan

Applied Mathematics and Computation, 2023, vol. 436, issue C

Abstract: This paper is concerned about a Pareto-based Stackelberg stochastic differential game with multi-followers, in which followers are cooperative relations. First of all, necessary and sufficient conditions for the existence of Pareto-based Stackelberg equilibrium are given for the general Pareto-based Stackelberg stochastic differential game problem. Next, we study the above game problem in the linear-quadratic (LQ) case and obtain a feedback form of Pareto-based Stackelberg equilibrium. The solvability of Riccati equations is guaranteed under some assumptions. Finally, the theoretical results are used to solve a national debt management problem.

Keywords: Cooperative game; Optimal control problem with constraint; Pareto-based Stackelberg equilibrium; Riccati equation (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:436:y:2023:i:c:s0096300322005860

DOI: 10.1016/j.amc.2022.127512

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