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- W4289551029 abstract "In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are included in the state equation and cost functionals. Based on stochastic maximum principles (SMPs), the follower's problem and the leader's problem are solved sequentially and an open-loop Stackelberg equilibrium is obtained. Further, with the help of the so-called four-step scheme, the corresponding Hamiltonian systems for the two players are decoupled and then the open-loop Stackelberg equilibrium admits a state feedback representation if some new-type Riccati equations are solvable." @default.
- W4289551029 created "2022-08-03" @default.
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- W4289551029 date "2022-07-30" @default.
- W4289551029 modified "2023-09-27" @default.
- W4289551029 title "Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions" @default.
- W4289551029 doi "https://doi.org/10.48550/arxiv.2208.00347" @default.
- W4289551029 hasPublicationYear "2022" @default.
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