Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
From MaRDI portal
Publication:489154
DOI10.1007/S40305-014-0064-9zbMath1305.91036OpenAlexW2054138676MaRDI QIDQ489154
Ning Bin, Huai-nian Zhu, Cheng-ke Zhang
Publication date: 27 January 2015
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-014-0064-9
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Stochastic integrals (60H05)
Related Items (2)
Infinite horizon linear quadratic Pareto game of the stochastic singular systems ⋮ Linear quadratic Nash differential games of stochastic singular systems with Markovian jumps
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum principle for differential games of forward-backward stochastic systems with applications
- Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon
- Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Infinite horizon \(H_2/H_\infty\) control for stochastic systems with Markovian jumps
- Generalized Riccati equations arising in stochastic games
- Mathematical methods in robust control of linear stochastic systems.
- Nonzero-sum differential games
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
- Stock Trading: An Optimal Selling Rule
- Game-theoretic coupled riccati equations associated to controlled linear differential systems with jump markov perturbations
- Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
- A stochastic differential game for optimal investment of an insurer with regime switching
- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- A Nash game approach to mixed H/sub 2//H/sub ∞/ control
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- A Leader-Follower Stochastic Linear Quadratic Differential Game
- Robust production and maintenance planning in stochastic manufacturing systems
- Numerical Solutions for Stochastic Differential Games With Regime Switching
- A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
- Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
- The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
- Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
- Cooperative Stochastic Differential Games
- Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
