Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games

Alain Bensoussan (), Shaokuan Chen and Suresh Sethi
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Alain Bensoussan: University of Texas at Dallas
Shaokuan Chen: University of Texas at Dallas

A chapter in Models and Methods in Economics and Management Science, 2014, pp 3-15 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-00669-7_1

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DOI: 10.1007/978-3-319-00669-7_1

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