An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers

Abstract: This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state variables. A distinct feature lies in that, the noisy information available to the leaders and the followers may be asymmetric and have overlapping part. Using a coupled system of Riccati equations, the followers first solve an LQ nonzero-sum stochastic differential Nash game with partial information, and then the leaders solve a partial information LQ nonzero-sum stochastic differential Nash game driven by a conditional mean-field type forward-backward stochastic differential equation (CMF-FBSDE). By maximum principle, completion of squares and decoupling methods, the state-estimate feedback representation of the Stackelberg-Nash equilibrium is obtained.