# American Institute of Mathematical Sciences

doi: 10.3934/mcrf.2020047

## A stackelberg game of backward stochastic differential equations with partial information

 School of Mathematics, Shandong University, Jinan 250100, China

* Corresponding author: Jingtao Shi

Received  December 2019 Revised  June 2020 Published  November 2020

Fund Project: This work is financially supported by National Key R & D Program of China (2018YFB1305400) and National Natural Science Foundations of China (11971266, 11831010, 11571205)

This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub-$\sigma$-algebra of that of the leader. Necessary and sufficient conditions of the optimality for the follower and the leader are first given for the general problem, by the partial information stochastic maximum principles of BSDEs and forward-backward stochastic differential equations (FBSDEs), respectively. Then a linear-quadratic (LQ) Stackelberg game of BSDEs with partial information is investigated. The state estimate feedback representation for the optimal control of the follower is first given via two Riccati equations. Then the leader's problem is formulated as an optimal control problem of FBSDE. Four high-dimensional Riccati equations are introduced to represent the state estimate feedback for the optimal control of the leader. Theoretic results are applied to a pension fund management problem of two players in the financial market.

Citation: Yueyang Zheng, Jingtao Shi. A stackelberg game of backward stochastic differential equations with partial information. Mathematical Control & Related Fields, doi: 10.3934/mcrf.2020047
##### References:

show all references

##### References:
 [1] Lorenzo Zambotti. A brief and personal history of stochastic partial differential equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 471-487. doi: 10.3934/dcds.2020264 [2] Giuseppina Guatteri, Federica Masiero. Stochastic maximum principle for problems with delay with dependence on the past through general measures. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020048 [3] Stefan Doboszczak, Manil T. Mohan, Sivaguru S. Sritharan. Pontryagin maximum principle for the optimal control of linearized compressible navier-stokes equations with state constraints. Evolution Equations & Control Theory, 2020  doi: 10.3934/eect.2020110 [4] Siyang Cai, Yongmei Cai, Xuerong Mao. A stochastic differential equation SIS epidemic model with regime switching. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020317 [5] Fabio Camilli, Giulia Cavagnari, Raul De Maio, Benedetto Piccoli. Superposition principle and schemes for measure differential equations. Kinetic & Related Models, , () : -. doi: 10.3934/krm.2020050 [6] Awais Younus, Zoubia Dastgeer, Nudrat Ishaq, Abdul Ghaffar, Kottakkaran Sooppy Nisar, Devendra Kumar. On the observability of conformable linear time-invariant control systems. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020444 [7] Hai Huang, Xianlong Fu. Optimal control problems for a neutral integro-differential system with infinite delay. Evolution Equations & Control Theory, 2020  doi: 10.3934/eect.2020107 [8] Youming Guo, Tingting Li. Optimal control strategies for an online game addiction model with low and high risk exposure. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020347 [9] Sihem Guerarra. Maximum and minimum ranks and inertias of the Hermitian parts of the least rank solution of the matrix equation AXB = C. Numerical Algebra, Control & Optimization, 2021, 11 (1) : 75-86. doi: 10.3934/naco.2020016 [10] Yuan Tan, Qingyuan Cao, Lan Li, Tianshi Hu, Min Su. A chance-constrained stochastic model predictive control problem with disturbance feedback. Journal of Industrial & Management Optimization, 2021, 17 (1) : 67-79. doi: 10.3934/jimo.2019099 [11] Fathalla A. Rihan, Hebatallah J. Alsakaji. Stochastic delay differential equations of three-species prey-predator system with cooperation among prey species. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020468 [12] Reza Chaharpashlou, Abdon Atangana, Reza Saadati. On the fuzzy stability results for fractional stochastic Volterra integral equation. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020432 [13] Nicolas Rougerie. On two properties of the Fisher information. Kinetic & Related Models, , () : -. doi: 10.3934/krm.2020049 [14] Peng Luo. Comparison theorem for diagonally quadratic BSDEs. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020374 [15] Leanne Dong. Random attractors for stochastic Navier-Stokes equation on a 2D rotating sphere with stable Lévy noise. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020352 [16] Andy Hammerlindl, Jana Rodriguez Hertz, Raúl Ures. Ergodicity and partial hyperbolicity on Seifert manifolds. Journal of Modern Dynamics, 2020, 16: 331-348. doi: 10.3934/jmd.2020012 [17] Shengxin Zhu, Tongxiang Gu, Xingping Liu. AIMS: Average information matrix splitting. Mathematical Foundations of Computing, 2020, 3 (4) : 301-308. doi: 10.3934/mfc.2020012 [18] Huu-Quang Nguyen, Ya-Chi Chu, Ruey-Lin Sheu. On the convexity for the range set of two quadratic functions. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020169 [19] Hua Qiu, Zheng-An Yao. The regularized Boussinesq equations with partial dissipations in dimension two. Electronic Research Archive, 2020, 28 (4) : 1375-1393. doi: 10.3934/era.2020073 [20] Juan Pablo Pinasco, Mauro Rodriguez Cartabia, Nicolas Saintier. Evolutionary game theory in mixed strategies: From microscopic interactions to kinetic equations. Kinetic & Related Models, , () : -. doi: 10.3934/krm.2020051

2019 Impact Factor: 0.857