Feedback Stackelberg-Nash Equilibrium in Linear-Quadratic Mixed-Leadership Stochastic Differential Games

This paper is concerned with a linear-quadratic mixed-leadership stochastic differential game in feedback infor-mation pattern. Via the solutions of coupled parabolic partial differential equations, explicit representation of the feedback Stackelberg-Nash equilibrium is given. Furthermore, the solvability of coupled Riccati equations which arise from solving the partial differential equations is discussed, and sufficient conditions for the existence of the solutions are derived.