An iterative method for an equilibrium point of linear quadratic stochastic differential games with state and control-dependent noise

MaRDI QIDQ5223862zbMATH OpenFDO

Authors I. G. Ivanov, Vladislav Krasimirov Tanov

Publication date 18 July 2019

Full work available at URL http://aos.ro/wp-content/anale/MVol10Nr2Art.1.pdf

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

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Cited in

(7)

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• On the closed loop Nash equilibrium strategy for a class of sampled data stochastic linear quadratic differential games
• Iterative algorithms for computing the feedback Nash equilibrium point for positive systems
• An iterative algorithm for saddle-point equilibrium of continuous bilinear system
• Equilibrium in stochastic Nash games with state-dependent noise via Lyapunov type iterations
• Accelerated iterations for finding the soft-constrained stochastic Nash games equilibrium
• An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games

Describes a project that uses

Uses Software

• Python

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