Mean-Field Type Leader-Follower Stochastic Differential Game with Asymmetric Information

摘要

In this paper, we consider a kind of mean-field type leader-follower stochastic differential game with asymmetric information, where the leader’s information is a sub-σ-algebra of the follower’s. By stochastic maximum principle and stochastic filtering technique, we get four Riccati equations and the filtering equation of state. Then, the Stackelberg equilibrium of feedback form is obtained.