Regular Papers
International Journal of Control, Automation, and Systems 2023; 21(9): 2904-2915
https://doi.org/10.1007/s12555-022-0534-5
© The International Journal of Control, Automation, and Systems
Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay
In this paper, we study the open-loop Stackelberg strategy of the stochastic Stackelberg game with time delay. The main contribution is to give the explicit Stackelberg strategy in terms of Riccati equations. The key to solving the problem is the explicit solvability of the forward and backward stochastic difference equations (FBSDEs). Moreover, the optimal costs are indicated by using the initial value of the state.
Keywords Difference game, maximum principle, Stackelberg strategy, stochastic, time delay.
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Regular Papers
International Journal of Control, Automation, and Systems 2023; 21(9): 2904-2915
Published online September 1, 2023 https://doi.org/10.1007/s12555-022-0534-5
Copyright © The International Journal of Control, Automation, and Systems.
Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay
Jingmei Liu, Wei Wang*, Juanjuan Xu, and Huanshui Zhang
Shandong University
Abstract
In this paper, we study the open-loop Stackelberg strategy of the stochastic Stackelberg game with time delay. The main contribution is to give the explicit Stackelberg strategy in terms of Riccati equations. The key to solving the problem is the explicit solvability of the forward and backward stochastic difference equations (FBSDEs). Moreover, the optimal costs are indicated by using the initial value of the state.
Keywords: Difference game, maximum principle, Stackelberg strategy, stochastic, time delay.
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Vol. 21, No. 9, pp. 2771~3126
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