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- MUKAIDANI Hiroaki
- Institute of Engineering, Hiroshima University
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- XU Hua
- Graduate School of Business Sciences, The University of Tsukuba
説明
<p>This paper investigates open-loop Stackelberg games for a class of stochastic systems with multiple players. First, the necessary conditions for the existence of an open-loop Stackelberg strategy set are established using the stochastic maximum principle. Such conditions can be represented as solvability conditions for cross-coupled forward-backward stochastic differential equations (CFBSDEs). Second, in order to obtain the open-loop strategy set, a computational algorithm based on a four-step scheme is developed. A numerical example is then demonstrated to show the validity of the proposed method.</p>
収録刊行物
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- IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
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IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences E100.A (4), 989-995, 2017
一般社団法人 電子情報通信学会
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キーワード
詳細情報 詳細情報について
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- CRID
- 1390001206311338752
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- NII論文ID
- 130005529471
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- ISSN
- 17451337
- 09168508
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- Crossref
- CiNii Articles
- OpenAIRE
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- 抄録ライセンスフラグ
- 使用不可