Differential games for weakly coupled large-scale linear stochastic systems with an H_-constraint

DOI10.1142/S0219198917500256zbMATH Open1387.49052OpenAlexW2760484826MaRDI QIDQ4608749FDOQ4608749

Authors: Hiroaki Mukaidani, Hua Xu 

Publication date: 28 March 2018

Published in: International Game Theory Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219198917500256

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zbMATH Keywords

stochastic large-scale systems\(H_\infty\)-constraintcross-coupled stochastic Riccati differential equations (CSRDEs)robust differential game

Mathematics Subject Classification ID

Differential games and control (49N70) Existence of optimal solutions to problems involving randomness (49J55) Applications of optimal control and differential games (49N90) Stochastic games, stochastic differential games (91A15) Stochastic systems in control theory (general) (93E03)

Cites Work

• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Title not available (Why is that?)
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
• Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
• Nonlinear Stochastic $H_2/H_\infty$ Control with $(x,u,v)$-Dependent Noise: Infinite Horizon Case
• Soft-constrained stochastic Nash games for weakly coupled large-scale systems
• Optimal control. Weakly coupled systems and applications

Cited In (4)

• Numerical computation of sign-indefinite linear quadratic differential games for weakly coupled large-scale systems
• A stochastic differential game for the inhomogeneous \(\infty \)-Laplace equation
• Soft-constrained stochastic Nash games for weakly coupled large-scale systems
• Differential Game Approach to the Mixed H-H Problem

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