Analytic solution for a class of discrete-time Riccati equations arising in Nash games (Q757663)

For a two-player linear quadratic non-zero sum discrete time game, when seeking an open-loop Nash strategy, people end up with a pair of coupled matrix Riccati equations. Under some conditions, which essentially mean some compatibility of the controllers and their cost functionals, the author presents an explicit formula for the solution of the coupled Riccati equations.