IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
Online ISSN : 1745-1337
Print ISSN : 0916-8508
Regular Section
Open-Loop Stackelberg Games for Stochastic Systems
Hiroaki MUKAIDANIHua XU
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2017 Volume E100.A Issue 4 Pages 989-995

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Abstract

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.

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© 2017 The Institute of Electronics, Information and Communication Engineers
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