On the bounded and stabilizing solution of a generalized Riccati differential equation arising in connection with a zero-sum linear quadratic stochastic differential game

DOI10.1002/OCA.2563MaRDI QIDQ5000773zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 15 July 2021

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2563

zbMATH Keywords

time-varyingstabilizing solutiongeneralized Riccati differential equationszero-sum differential games

Mathematics Subject Classification ID

Differential games and control (49N70) Noncooperative games (91A10) 2-person games (91A05) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

Recommendations

• On the bounded and stabilizing solution of a generalized Riccati differential equation with periodic coefficients arising in connection with a zero sum linear quadratic stochastic differential game
• On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case
• An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
• scientific article; zbMATH DE number 2069400
• Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control

Cited in

(8)

• The existence of the stabilizing solution of the Riccati equation arising in discrete-time stochastic zero sum LG dynamic games with periodic coefficients
• Game-theoretic coupled riccati equations associated to controlled linear differential systems with jump markov perturbations
• Linear quadratic zero-sum stochastic differential games with Markov regime switching
• On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case
• Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic H_ control problems
• On the bounded and stabilizing solution of a generalized Riccati differential equation with periodic coefficients arising in connection with a zero sum linear quadratic stochastic differential game
• Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
• An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach

This page was built for publication: On the bounded and stabilizing solution of a generalized Riccati differential equation arising in connection with a zero-sum linear quadratic stochastic differential game

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5000773)