A LINEAR QUADRATIC STOCHASTIC STACKELBERG DIFFERENTIAL GAME WITH TIME DELAY

被引：5
|
作者：
Meng, Weijun [1 ]
Shi, Jingtao [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2022年 / 12卷 / 03期
基金：
国家重点研发计划;
关键词：
Time delay; stochastic Stackelberg differential game; leader and fol-lower; linear quadratic control; Riccati equation; open-loop Stackelberg strategy; MAXIMUM PRINCIPLE; STRATEGIES; EXISTENCE;
D O I：
10.3934/mcrf.2021035
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is concerned with a linear quadratic stochastic Stack-elb erg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into the diffusion term. By introducing two Pseudo-Riccati equations and a special matrix equation, the state feedback representation of the open-loop Stackelberg strategy is derived, under some assumptions. Fi-nally, two examples are given to illustrate the applications of the theoretical results.
引用
收藏
页码：581 / 609
页数：29
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