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

DOI10.1142/S0219198917500256MaRDI QIDQ4608749zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1243371 (Why is no real title available?)
• Nonlinear Stochastic $H_2/H_\infty$ Control with $(x,u,v)$-Dependent Noise: Infinite Horizon Case
• Optimal control. Weakly coupled systems and applications
• Soft-constrained stochastic Nash games for weakly coupled large-scale systems
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise

Cited in

(4)

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

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