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Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay
Jingmei Liu,Wei Wang,Juanjuan Xu,Huanshui Zhang 제어·로봇·시스템학회 2023 International Journal of Control, Automation, and Vol.21 No.9
In this paper, we study the open-loop Stackelberg strategy of the stochastic Stackelberg game with time delay. The main contribution is to give the explicit Stackelberg strategy in terms of Riccati equations. The key to solving the problem is the explicit solvability of the forward and backward stochastic difference equations (FBSDEs). Moreover, the optimal costs are indicated by using the initial value of the state.