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Open-Loop Stackelberg Games for Stochastic Systems
Hiroaki MUKAIDANI Hua XU
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences
Publication Date: 2017/04/01
Online ISSN: 1745-1337
Type of Manuscript: PAPER
Category: Systems and Control
Stackelberg games, cross-coupled forward-backward stochastic differential equations (CFBSDEs), open-loop strategy, Newton's method,
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This paper investigates open-loop Stackelberg games for a class of stochastic systems with multiple players. First, the necessary conditions for the existence of an open-loop Stackelberg strategy set are established using the stochastic maximum principle. Such conditions can be represented as solvability conditions for cross-coupled forward-backward stochastic differential equations (CFBSDEs). Second, in order to obtain the open-loop strategy set, a computational algorithm based on a four-step scheme is developed. A numerical example is then demonstrated to show the validity of the proposed method.