Stackelberg Games with a Robust Leader

In this paper we study a Stackelberg game with one leader and multiple followers. Given the leader’s control, the followers solve a Nash game with possibly multiple equilibria. We consider a robust leader who considers the worst scenario, namely the followers would select the equilibrium worst for the leader. By using the weak formulation, the problem induces a zero sum game problem with open loop controls, which is time inconsistent. We shall characterize the last problem through an HJB equation on the Wasserstein space of probability measures. The principal-agent problem with one principal and multiple agents can be viewed as a special case of our problem, but with certain constraints.