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Backward Stackelberg Differential Game with Constraints

Abstract 

We discuss open-loop backward Stackelberg differential game involving single leader and single follower. The state to be controlled is characterized by a backward stochastic differential equation for which the terminal- instead initial-condition is specified as a priori; the decisions of leader consist of a static terminal-perturbation and a dynamic linear-quadratic control. In addition, the terminal control is subject to an expectation constraint. For information pattern: the leader announces both terminal and open-loop dynamic decisions at the initial time while takes account the best response of follower. Then, two interrelated optimization problems are sequentially solved by the follower and the leader. The open-loop Stackelberg equilibrium is represented by some coupled backward-forward stochastic differential equations with mixed initial-terminal conditions and a Karush-Kuhn-Tucker system.  This talk is based on joint work with Prof. Ying Hu and Prof. Jianhui Huang. 


报告人简介

冯新伟,山东大学教授。2016 年获山东大学博士学位, 2016 年8 月至2018 年8 月,2018 年9 月至2019 年8 月分别在香港中文大学、香港理工大学从事博士后研究,2019 年 9 月入职山东大学,受聘为齐鲁青年学者,主要从事倒向随机微分方程及其应用、非线性期望、自正则化理论等方向的研究,在 SIAM J. Control Optim.,IEEE Trans. Automat. Contr.,Appl. Math. Optim.,ESAIM Control Optim. Calc. Var. ,Sci. China Math.,J. Theor. Probab.等期刊发表论文二十余篇,主持国家自然科学基金青年基金和山东省自然科学基金青年基金各一项。