Derives a Riccati-free coupled FBSDE system for mean-field Stackelberg games with random coefficients via extended Lagrange multipliers and proposes a Deep FBSDE Picard Solver with neural augmented Lagrangian for numerical solution.
Moreover, let ( X η1,λϵ 1(·), Y η1,λϵ 1(·), Zη1,λϵ 1(·)) denote the cor- responding state trajectory for the perturbed variable pair λϵ 1
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Stochastic Mean-Field LQ Stackelberg Differential Games with Random Coefficients: Theory and a Deep FBSDE Picard Solver
Derives a Riccati-free coupled FBSDE system for mean-field Stackelberg games with random coefficients via extended Lagrange multipliers and proposes a Deep FBSDE Picard Solver with neural augmented Lagrangian for numerical solution.