论文标题
线性二次领导者追随者随机差异游戏，用于平均场切换扩散
Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
论文作者
论文摘要
在本文中，我们考虑了一个线性二次（LQ）领导者随机差异游戏，用于使用平均场相互作用进行制度切换扩散。本文的显着特征之一是，有条件的平均场项包含在状态方程和成本函数中。基于随机最大原则（SMP），跟随者的问题和领导者的问题被顺序解决，并获得了开环stackelberg均衡。此外，在所谓的四步方案的帮助下，两个参与者的相应哈密顿系统被解耦，然后开放环的Stackelberg equilibrium如果可以解决一些新型Riccati方程，则可以解决国家反馈表示。
In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are included in the state equation and cost functionals. Based on stochastic maximum principles (SMPs), the follower's problem and the leader's problem are solved sequentially and an open-loop Stackelberg equilibrium is obtained. Further, with the help of the so-called four-step scheme, the corresponding Hamiltonian systems for the two players are decoupled and then the open-loop Stackelberg equilibrium admits a state feedback representation if some new-type Riccati equations are solvable.
