Author:
Zheng Yueyang,Shi Jingtao
Abstract
<p style='text-indent:20px;'>This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub-<inline-formula><tex-math id="M1">\begin{document}$ \sigma $\end{document}</tex-math></inline-formula>-algebra of that of the leader. Necessary and sufficient conditions of the optimality for the follower and the leader are first given for the general problem, by the partial information stochastic maximum principles of BSDEs and forward-backward stochastic differential equations (FBSDEs), respectively. Then a linear-quadratic (LQ) Stackelberg game of BSDEs with partial information is investigated. The state estimate feedback representation for the optimal control of the follower is first given via two Riccati equations. Then the leader's problem is formulated as an optimal control problem of FBSDE. Four high-dimensional Riccati equations are introduced to represent the state estimate feedback for the optimal control of the leader. Theoretic results are applied to a pension fund management problem of two players in the financial market.</p>
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,General Medicine
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献