Linear-state control problems and differential games: deterministic and stochastic systems
deterministic and stochastic differential gamesdeterministic and stochastic optimal controlfinite- and infinite-time horizonlinear-state systemsmaximum principle
Existence theories for optimal control problems involving ordinary differential equations (49J15) Differential games and control (49N70) Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)
This paper studies a class of linear-state optimal control problems and differential games. The problems are defined with deterministic and stochastic systems with finite- and infinite-time horizon. The control is denoted by \(a\) in this text. For each of the mentioned systems, some assumptions, definitions and theorems are provided in the article. For example, for a deterministic optimal control system with finite-time horizon, after providing some assumptions and definitions, the optimal control and the optimal performance index are presented theoretically by using the maximum principle, the transition matrix and the costate function. By presenting other approaches, similar processes are presented for the optimization problems in different situations. Finally, some examples are provided for the problems under investigation and discussed theoretically. This article is specifically recommended for those who are interested in game theory.
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