| Abstract: |
| This talk 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 of the cost functional and stochastic filtering. A new system of Riccati equations is introduced to represent the state feedback of the Stackelberg equilibrium strategy. |
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