Linear-quadratic stochastic differential game: Infinite-time case

作者：Sun Huiying^*; Li Meng; Zhang Weihai

来源：ICIC Express Letters, 2011, 5(4 B): 1449-1454.

• Control variable
• Coupled equation
• Detectability
• Exact observability
• Nash Equilibrium
• Numerical example
• Optimal costs
• Optimal strategies
• Stochastic differential game
• Stochastic game
• Stochastic noise
• Time horizons

In this paper, we consider the nonzero-sum stochastic differential game in infinite-time horizon, where the stochastic noise in dynamics depends on both of the state and the control variables. By introducing stochastic exact observability and exact detectability, we give the optimal strategies (Nash equilibrium strategies) and the optimal cost values for infinite stochastic differential game. It is presented that the infinite-time nonzero-sum linear-quadratic stochastic games are associated with four coupled equations. Finally, we provide a numerical example to demonstrate our results. ICIC International ? 2011.

• 出版日期2011
• 单位山东科技大学