Infnite time horizon nonzero-sum linear quadratic stochastic differential games with state and contr

• 作 者: Huainian ZHU Chengke ZHANG
• 机 构: School of Management,Guangdong University of Technology,School of Economics & Commence,Guangdong Uni
• 出 处: Journal of Control Theory and Applications
• 发表日期: 2013年04期
• 关键词: stochastic horizon games quadratic disturbance algebraic formulated nonzero appl

This paper discusses the infnite time horizon nonzero-sum linear quadratic(LQ)differential games of stochastic systems governed by Ito’s equation with state and control-dependent noise.First,the nonzero-sum LQ differential games are formulated by applying the results of stochastic LQ problems.Second,under the assumption of mean-square stabilizability of stochastic systems,necessary and suffcient conditions for the existence of the Nash strategy are presented by means of four coupled stochastic algebraic Riccati equations.Moreover,in order to demonstrate the usefulness of the obtained results,the stochastic H-two/H-infnity control with state,control and external disturbance-dependent noise is discussed as an immediate application.

This paper discusses the infnite time horizon nonzero-sum linear quadratic (LQ) differential games of stochastic systems governed by Ito’s equation with state and control-dependent noise. First, the nonzero-sum LQ differential games are formulated by applying the results of stochastic LQ problems.Second, under the assumption of mean-square stabilizability of stochastic systems, necessary and suffcient conditions for the existence of the Nash strategy are presented by means of four coupled stochastic algebraic Riccati equations. Moreover, in order to demonstrate the usefulness of the obtained results, the stochastic H-two / H-infinity control with state, control and external disturbance-dependent noise is discussed as an immediate application.