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arXiv · 2104.13528

A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time

Zhun Gou·Nan-jing Huang·Ming-hui Wang
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Abstract

In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching goal is to find the Stackelberg solution of the leader and followers for such a model. By employing the backward induction method, the state equation is divided into two-stage equations. Moreover, by using the maximum principle and the verification theorem, the Stackelberg solution is obtained for such a model.

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Zhun Gou, Nan-jing Huang, Ming-hui Wang. 2021-04-28. A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time. https://arxiv.org/abs/2104.13528

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