A Stackelberg strategy for continuous-time mixed H2/H∞ control problem with time delay

Li, Xiaoqian; Wang, Wei; Xu, Jian‐Xin; Zhang, Huanshui

doi:10.1007/s11768-018-8014-4

Cited by 4 publications

(1 citation statement)

References 29 publications

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“…Xu et al [28] obtained the open-loop Stackelberg strategy for the linear quadratic leader-follower stochastic differential game with time delay only appearing in the leader's problem. Li et al [14] considered a Stackelberg strategy for deterministic mixed H 2 /H ∞ control problem with time delay in the leader's control. Bai et al [1] addressed a Stackelberg stochastic differential reinsurance investment game problem and derived the equilibrium strategy explicitly for the game, however the diffusion term of the follower does not contain the time delay.…”

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confidence: 99%

A linear quadratic stochastic Stackelberg differential game with time delay

Meng

Shi

2022

MCRF

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This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into the diffusion term. By introducing two Pseudo-Riccati equations and a special matrix equation, the state feedback representation of the open-loop Stackelberg strategy is derived, under some assumptions. Finally, two examples are given to illustrate the applications of the theoretical results.

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confidence: 99%