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This paper is concerned with a kind of stochastic linear-quadratic Stackelberg differential game with overlapping information. Here the term “overlapping” means that the follower's and the leader's information have some joint part, while they have no inclusion relation. Optimal controls of the follower and the leader's are proved by the stochastic maximum principle, the direct calculation of the derivative...
This paper is concerned with an optimal control problem of anticipated forward-backward stochastic differential equation with delay. We obtain an explicit representation of optimal control for delayed problem first, and then use it to solve a delayed cash management problem with recursive utility. The explicit optimal control strategy of the investor is given and some numerical simulations are used...
In this paper, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. By maximum principle and stochastic filtering, a feedback Stackelberg equilibrium is given. The result can be regarded as a continuation of [5].
This paper studies an optimal control problem derived by mean-field type forward-backward stochastic system, whose novel features are as follows: (i) Both the state equation and the cost functional are of mean-field type; (ii) The observation depends on the control; (iii) The drift coefficient of the observation equation is linear with respect to the state x. These features result in intrinsic difficulties...
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