A kind of linear-quadratic leader-follower stochastic differential game

@inproceedings{Shi2016AKO,
  title={A kind of linear-quadratic leader-follower stochastic differential game},
  author={Jingtao Shi and Guangchen Wang},
  booktitle={CCC 2016},
  year={2016}
}
  • Jingtao Shi, Guangchen Wang
  • Published in CCC 2016
  • Mathematics
  • In this paper, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. By maximum principle and stochastic filtering, a feedback Stackelberg equilibrium is given. The result can be regarded as a continuation of [5]. 

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