• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Mathematical Problems in Engineering >Linear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application
【24h】

Linear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application

机译：均值倒向随机微分系统的线性二次Stackelberg博弈及其应用

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper is concerned with a new kind of Stackelberg differential game of mean-field backward stochastic differential equations (MF-BSDEs). By means of four Riccati equations (REs), the follower first solves a backward mean-field stochastic LQ optimal control problem and gets the corresponding open-loop optimal control with the feedback representation. Then the leader turns to solve an optimization problem for a1 x 2mean-field forward-backward stochastic differential system. In virtue of some high-dimensional and complicated REs, we obtain the open-loop Stackelberg equilibrium, and it admits a state feedback representation. Finally, as applications, a class of stochastic pension fund optimization problems which can be viewed as a special case of our formulation is studied and the open-loop Stackelberg strategy is obtained.
机译：本文涉及一种新型的平均场向后随机微分方程（MF-BSDE）的Stackelberg微分博弈。跟随者首先通过四个Riccati方程（RE）解决后向平均场随机LQ最优控制问题，并通过反馈表示获得相应的开环最优控制。然后领导者转向解决a1 x 2平均场前后向随机微分系统的优化问题。借助一些高维和复杂的RE，我们获得了开环Stackelberg平衡，并且它接受状态反馈表示。最后，作为应用，研究了一类随机养老金优化问题，可以将其视为我们的公式的特例，并获得了开环Stackelberg策略。

著录项

  • 来源
    《Mathematical Problems in Engineering》 |2019年第5期|1798585.1-1798585.17|共17页
  • 作者

    Du Kai; Wu Zhen;

  • 作者单位

    Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China|Shandong Univ, Zhongtai Secur Inst Financial Study, Jinan 250100, Shandong, Peoples R China;

    Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China;

  • 收录信息
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号