论文标题
反馈信息模式中的混合领导力随机差异游戏与应用
Mixed Leadership Stochastic Differential Game in Feedback Information Pattern with Applications
论文作者
论文摘要
本文在反馈信息模式下，在有限的地平线上致力于高维混合领导力随机差异游戏，其中控制变量进入状态方程的扩散项。通过使用耦合和完全非线性抛物线抛物线偏微分方程的系统获得反馈stackelberg-nash平衡的验证定理。我们将验证定理应用于处理动态创新和定价决策问题，在该问题中，买方是定价决策的领导者，动态模型是随机的。通过耦合riccati方程的解决方案，我们明确表达了创新和定价的反馈均衡策略。通过分析，得出了耦合riccati方程的解的局部存在和独特性。我们还进行了一些数值分析，以讨论模型参数对反馈均衡策略的影响。
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem for the feedback Stackelberg-Nash equilibrium is obtained by using a system of coupled and fully nonlinear parabolic partial differential equations. We apply the verification theorem to deal with a dynamic innovation and pricing decision problem where the buyer acts as the leader in the pricing decisions and the dynamic model is stochastic. Via the solutions of coupled Riccati equations, we explicitly express the feedback equilibrium strategies of innovation and pricing. And by analysis, the local existence and uniqueness of the solutions of the coupled Riccati equations is derived. We also conduct some numerical analyses to discuss the effects of model parameters on the feedback equilibrium strategies.
