Stackelberg Strategy of Two-player Stochastic Difference Game With Time Delay

In this paper, we study the open-loop Stackelberg strategy of stochastic Stackelberg game with time delay. The main contribution is to give the explicit Stackelberg strategy in terms of Riccati equations. The key to solving the problem is the explicit solvability of the forward and backward stochastic difference equations (FBSDEs). Moreover, the optimal costs are indicated by using the initial value of the state.