IEICE TRANSACTIONS on Fundamentals
Open-Loop Stackelberg Games for Stochastic Systems
Summary :
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.
- Publication
- IEICE TRANSACTIONS on Fundamentals Vol.E100-A No.4 pp.989-995
- Publication Date
- 2017/04/01
- Publicized
- Online ISSN
- 1745-1337
- DOI
- 10.1587/transfun.E100.A.989
- Type of Manuscript
- PAPER
- Category
- Systems and Control
Authors
Hiroaki MUKAIDANI
Hiroshima University
Hua XU
The University of Tsukuba
Keyword
Latest Issue
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Hiroaki MUKAIDANI, Hua XU, "Open-Loop Stackelberg Games for Stochastic Systems" in IEICE TRANSACTIONS on Fundamentals,
vol. E100-A, no. 4, pp. 989-995, April 2017, doi: 10.1587/transfun.E100.A.989.
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.
URL: https://global.ieice.org/en_transactions/fundamentals/10.1587/transfun.E100.A.989/_p
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@ARTICLE{e100-a_4_989,
author={Hiroaki MUKAIDANI, Hua XU, },
journal={IEICE TRANSACTIONS on Fundamentals},
title={Open-Loop Stackelberg Games for Stochastic Systems},
year={2017},
volume={E100-A},
number={4},
pages={989-995},
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.},
keywords={},
doi={10.1587/transfun.E100.A.989},
ISSN={1745-1337},
month={April},}
Copy
TY - JOUR
TI - Open-Loop Stackelberg Games for Stochastic Systems
T2 - IEICE TRANSACTIONS on Fundamentals
SP - 989
EP - 995
AU - Hiroaki MUKAIDANI
AU - Hua XU
PY - 2017
DO - 10.1587/transfun.E100.A.989
JO - IEICE TRANSACTIONS on Fundamentals
SN - 1745-1337
VL - E100-A
IS - 4
JA - IEICE TRANSACTIONS on Fundamentals
Y1 - April 2017
AB - 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.
ER -
English
