Linear-quadratic mean-field type stackelberg differential games for stochastic jump-diffusion systems

Jun Moon

doi:10.3934/mcrf.2021026

Article Contents

2022, Volume 12, Issue 2: 371-404. Doi: 10.3934/mcrf.2021026

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Linear-quadratic mean-field type stackelberg differential games for stochastic jump-diffusion systems

Jun Moon

Department of Electrical Engineering, Hanyang University, Seoul 04763, South Korea

Received: July 2020

Revised: October 2020

Early access: April 2021

Published: June 2022

This research was supported in part by the National Research Foundation of Korea (NRF) Grant funded by the Ministry of Science and ICT, South Korea (NRF-2017R1A5A1015311) and in part by Institute of Information & communications Technology Planning & Evaluation (IITP) grant funded by the Korea government (MSIT) (No.2020-0-01373, Artificial Intelligence Graduate School Program (Hanyang University)).

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Abstract

In this paper, we consider linear-quadratic (LQ) leader-follower Stackelberg differential games for mean-field type stochastic systems with jump diffusions, where the system includes mean-field variables, i.e., the expected value of state and control variables. We first solve the LQ mean-field type control problem of the follower using the stochastic maximum principle and obtain the state-feedback representation of the open-loop optimal solution in terms of the coupled integro-Riccati differential equations (CIRDEs) via the Four-Step Scheme. Next, we solve the problem of the leader, which is the LQ control problem subject to the mean-field type forward-backward stochastic system with jump diffusions, where the constraint characterizes the rational behavior of the follower. Using the variational approach, we obtain the (mean-field type) stochastic maximum principle. However, to obtain the state-feedback representation of the open-loop optimal solution of the leader, there is a technical challenge due to the jump process. We consider two different cases, in which the state-feedback type control in terms of the CIRDEs can be characterized by generalizing the Four-Step Scheme. We finally show that the state-feedback type controls of the open-loop optimal solutions for the leader and the follower constitute the Stackelberg equilibrium.

Keywords:

Mean-field stochastic systems with jump diffusions,
Stackelberg game,
mean-field type LQ control,
integro-Riccati differential equation.

Mathematics Subject Classification: Primary: 91A65, 49N10; Secondary: 91A15.

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