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Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations |
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| Authors: | Li Na Xiong Jie Yu Zhiyong |
| Institution: | 1.School of Statistics, Shandong University of Finance and Economics, Jinan, 250014, China ;2.Department of Mathematics and SUSTech International Center for Mathematics, Southern University of Science and Technology, Shenzhen, 518055, China ;3.School of Mathematics, Shandong University, Jinan, 250100, China ; |
| Abstract: | A kind of linear-quadratic Stackelberg games with the multilevel hierarchy driven by both Brownian motion and Poisson processes is considered. The Stackelberg equilibrium is presented by linear forward-backward stochastic differential equations(FBSDEs) with Poisson processes(FBSDEPs) in a closed form. By the continuity method, the unique solvability of FBSDEPs with a multilevel self-similar domination-monotonicity structure is obtained. |
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