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

DOI10.1137/21M1401802zbMATH Open1481.91019arXiv2011.09242MaRDI QIDQ5020741FDOQ5020741

Authors:

Publication date: 7 January 2022

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

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.

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

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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)

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• Singular linear-quadratic zero-sum differential games and \(H_\infty\) control problems. Regularization approach
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• A new design approach for solving linear quadratic nash games of multiparameter singularly perturbed systems
• Multi-time scale zero-sum differential games with perfect state measurements
• SOLUTION OF A SINGULAR ZERO-SUM LINEAR-QUADRATIC DIFFERENTIAL GAME BY REGULARIZATION

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