Stackelberg stochastic differential game with asymmetric noisy observations

This paper is concerned with a Stackelberg stochastic differential game asymmetric noisy observation. In our model, the follower cannot observe state process directly, but could observation process, while leader can completely process. Open-loop equilibrium considered. The first solve optimal control problem partial observation, maximum principle and verification theorem are obtained. Then turns to an for conditional mean-field forward–backward equation, both proved. A linear-quadratic discussed illustrate theoretical results in this paper. With aid of some new Riccati equations, open-loop admits its estimate feedback representation. Finally, application resource allocation numerical simulation given show effectiveness proposed results.