Stackelberg solution for a two-agent rational expectations model
نویسندگان
چکیده
Abstract In this paper, we derive the Stackelberg solution associated with a leader–follower rational expectations model. By solving dynamic optimization problem subject to forward and backward stochastic difference equations (FBSDEs), obtain strategy of leader an adapted open-loop information structure, in terms FBSDEs. Furthermore, solve FBSDEs by establishing nonhomogeneous relationship between processes. This leads explicit form leader.
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ژورنال
عنوان ژورنال: Automatica
سال: 2021
ISSN: ['1873-2836', '0005-1098']
DOI: https://doi.org/10.1016/j.automatica.2021.109601