Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games

DOI10.1137/21M1401802MaRDI QIDQ5020741zbMATH OpenFDO

Authors

Publication date 7 January 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.09242

zbMATH Keywords

singular perturbationRiccati equationlinear quadraticslow-faststochastic differential gametwo scalezero sum

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15) Singular perturbations of ordinary differential equations (34D15)

Abstract: We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the problem can be leveraged to reformulate the associated generalised Riccati equation as a deterministic singular perturbation problem. In doing so, we show that, for small enough $epsilon$, the existence of solution to the associated generalised Riccati equation is guaranteed by the existence of a solution to a decoupled pair of differential and algebraic Riccati equations with a reduced order of dimensionality. Furthermore, we are able to formulate a pair of asymptotic estimates to the value function of the game problem by constructing an approximate feedback strategy and observing the limiting value function.

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Cited in

(9)

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• Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
• Limit Hamilton--Jacobi--Isaacs Equations for Singularly Perturbed Zero-Sum Dynamic (Discrete Time) Games
• Singular linear-quadratic zero-sum differential games and \(H_\infty\) control problems. Regularization approach
• scientific article; zbMATH DE number 3997585 (Why is no real title available?)
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• SOLUTION OF A SINGULAR ZERO-SUM LINEAR-QUADRATIC DIFFERENTIAL GAME BY REGULARIZATION

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