Partially observed mean-field Stackelberg stochastic differential game with two followers

Abstract

This paper studies a partially observed stochastic Stackelberg game with two followers, where state satisfies a linear stochastic differential equation of mean-field type, and cost functionals are quadratic. Using decomposition technique and backward separation approach, we derive the followers' optimal strategy. The leader focuses on an optimal control problem driven by a fully coupled mean-field forward–backward stochastic differential equation with conditional expectation. By layer-by-layer decomposition technique, some inequalities and Riccati equations, we not only get the existence and uniqueness of solution to the corresponding Hamiltonian system but also give a feedback form of Stackelberg solution. Finally, we tackle a government debt problem by the above theoretical results.