Abstract
We present a sufficient condition for a feedback Stackelberg equilibrium of a stochastic differential game on an infinite horizon. This condition gives rise to a system of elliptic partial differential equations involving a static Stackelberg game at the level of Hamiltonian. As an example, we consider a linear quadratic problem, obtain the corresponding algebraic Riccati equation, and provide its solution in the scalar case.
Dedicated to Professor Charles Tapiero
This research in the paper was supported by World Class University (WCU) program through the National Research Foundation of Korea funded by the Ministry of Education, Science and Technology (R31-20007) and by the Research Grants Council of HKSAR (CityU 500111)
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Bensoussan, A., Chen, S., Sethi, S.P. (2014). Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games. In: El Ouardighi, F., Kogan, K. (eds) Models and Methods in Economics and Management Science. International Series in Operations Research & Management Science, vol 198. Springer, Cham. https://doi.org/10.1007/978-3-319-00669-7_1
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DOI: https://doi.org/10.1007/978-3-319-00669-7_1
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