Proposes a variational characterization of closed-loop Stackelberg equilibria in stochastic LQ games that yields the equilibrium Riccati equation, justifies prior limiting arguments, and establishes global well-posedness without short-horizon restrictions.
Yong, Time-inconsistent optimal control problems, Proceedings of 2014 ICM, Section 16
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Stackelberg Stochastic Linear-Quadratic Differential Games: A Closed-Loop Equilibrium Approach
Proposes a variational characterization of closed-loop Stackelberg equilibria in stochastic LQ games that yields the equilibrium Riccati equation, justifies prior limiting arguments, and establishes global well-posedness without short-horizon restrictions.