论文标题
带有非对称信息
A Three-level Stochastic Linear-quadratic Stackelberg Differential Game with Asymmetric Information
论文作者
论文摘要
本文与具有非对称信息的三级随机线性线性季节二次二级二级游戏差异游戏有关，其中三名玩家参与选手1，玩家2和玩家3。玩家3是玩家2和玩家1的领导者，玩家2的领导者，玩家2充当播放器1和玩家1的领导者1和玩家1的领导者。考虑的不对称信息是：播放器1可用的信息基于播放器2的信息的低$σ$ - 代数，并且播放器2可用的信息基于播放器3的次级$σ$ - 代数。 riccati方程。
This paper is concerned with a three-level stochastic linear-quadratic Stackelberg differential game with asymmetric information, in which three players participate credited as Player 1, Player 2 and Player 3. Player 3 acts as the leader of Player 2 and Player 1, Player 2 acts as the leader of Player 1 and Player 1 acts as the follower. The asymmetric information considered is: the information available to Player 1 is based on the sub-$σ$-algebra of the information available to Player 2, and the information available to Player 2 is based on the sub-$σ$-algebra of the information available to Player 3. By maximum principle of forward-backward stochastic differential equations and optimal filtering, feedback Stackelberg equilibrium of the game is given with the help of a new system consisting of three Riccati equations.
