Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay

Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay

In this paper, we study the open-loop Stackelberg strategy of 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 stochast...

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Veröffentlicht in:International journal of control, automation, and systems automation, and systems, 2023-09, Vol.21 (9), p.2904-2915
Hauptverfasser: Liu, Jingmei, Wang, Wei, Xu, Juanjuan, Zhang, Huanshui
Format: Artikel
Sprache:eng
Schlagworte:
Control
Difference equations
Engineering
Game theory
Mathematical analysis
Mechatronics
Regular Papers
Riccati equation
Robotics
Strategy
Time lag
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Zusammenfassung:In this paper, we study the open-loop Stackelberg strategy of 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.
ISSN:1598-6446
2005-4092
DOI:10.1007/s12555-022-0534-5