A leader-follower stochastic linear quadratic differential game with time delay

被引：0
|
作者：
Juanjuan Xu
Jingtao Shi
Huanshui Zhang
机构：
[1] Shandong University,School of Control Science and Engineering
[2] Shandong University,School of Mathematics
来源：
Science China Information Sciences | 2018年 / 61卷
关键词：
time delay; leader-follower differential game; open-loop strategy; Riccati equation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we are concerned with the leader-follower stochastic differential game of Itô type with time delay appearing in the leader’s control. The open-loop solution is explicitly given in the form of the conditional expectation with respect to several symmetric Riccati equations. The key technique is to establish the nonhomogeneous relationship between the forward variables and the backward ones obtained in the optimization problems of both the follower and the leader.
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