Stackelberg Game Approach to Mixed Stochastic H2/H∞ Control for Mean‐Field Jump‐Diffusions Systems With Markovian Switching

ABSTRACT This article focuses on the mixed stochastic control problem for mean‐field jump‐diffusion systems with Markovian switching. We investigate the stationarity condition and state‐feedback representations of the open‐loop optimal solution using the Stackelberg approach, treating the criterion as the follower problem and the criterion as the leader problem. To achieve this, we develop the Markov‐type stochastic maximum principle to obtain the open‐loop optimal solutions for both the follower and leader problems. Furthermore, we extend the Markov‐type Four‐Step Scheme and use coupled Riccati differential equations to derive state feedback representations of the optimal control for the follower and leader. To incorporate the impact of Markovian switching and Poisson jump processes, we introduce the application of conditional mean fields, providing a more comprehensive and accurate solution analysis. Finally, we establish the feedback representation of the open‐loop Stackelberg equilibrium, considering both the solvability of the leader and follower problems, and incorporating the state and its expected value.

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Publication Details

Journal
Optimal Control Applications and Methods
Published
2025-04-15
DOI
https://doi.org/10.1002/oca.3288
Citations
1
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
2.21

Funders

Controls
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article

Stackelberg Game Approach to Mixed Stochastic H2/H∞ Control for Mean‐Field Jump‐Diffusions Systems With Markovian Switching

Qingxin Meng, S.Y. Zhang, Weihai Zhang
1 citations
Optimal Control Applications and Methods
Stochastic processes and financial applications
2.21
article

Stackelberg Game Approach to Mixed Stochastic H2/H∞ Control for Mean‐Field Jump‐Diffusions Systems With Markovian Switching

Qingxin Meng, S.Y. Zhang, Weihai Zhang
article en
1 citations

Abstract

ABSTRACT This article focuses on the mixed stochastic control problem for mean‐field jump‐diffusion systems with Markovian switching. We investigate the stationarity condition and state‐feedback representations of the open‐loop optimal solution using the Stackelberg approach, treating the criterion as the follower problem and the criterion as the leader problem. To achieve this, we develop the Markov‐type stochastic maximum principle to obtain the open‐loop optimal solutions for both the follower and leader problems. Furthermore, we extend the Markov‐type Four‐Step Scheme and use coupled Riccati differential equations to derive state feedback representations of the optimal control for the follower and leader. To incorporate the impact of Markovian switching and Poisson jump processes, we introduce the application of conditional mean fields, providing a more comprehensive and accurate solution analysis. Finally, we establish the feedback representation of the open‐loop Stackelberg equilibrium, considering both the solvability of the leader and follower problems, and incorporating the state and its expected value.

Optimal Control Applications and MethodsVol. 46(4)
South China Normal University (CN), Huzhou Normal University (CN), Shandong University of Science and Technology (CN)
National Natural Science Foundation of China, Natural Science Foundation of Zhejiang Province
Openalex Percentile: Top 15%
Stochastic processes and financial applications
2.21
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Stackelberg Game Approach to Mixed Stochastic H2/H∞ Control for Mean‐Field Jump‐Diffusions Systems With Markovian Switching — Qingxin Meng, S.Y. Zhang, et al. · Optimal Control Applications and Methods (2025) | TGRS Research Map | TGRS