Linear Infinite Horizon Quadratic Differential Games for Stochastic Systems: Discrete-Time Case
This paper deals with the in.nite horizon linear quadratic (LQ) differential games for discrete-time stochastic systems with both state and control dependent noise. The Popov-Belevitch-Hautus (PBH) criteria for exact observability and exact detectability of discrete-time stochastic systems are presented. By using them, we give the optimal strategies (Nash equilibrium strategies) and the optimal cost values for infinite horizon stochastic differential games. It is indicated that the in.nite horizon LQ stochastic differential games are associated with four coupled matrix-valued equations.
Discrete-time stochastic systems Exact observability Exact detectability Differential games Nash equilibrium
Huiying Sun Liuyang Jiang
College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, China
国际会议
2011 China Control and Decision Conference(2011中国控制与决策会议 CCDC)
四川绵阳
英文
1733-1737
2011-05-23（万方平台首次上网日期，不代表论文的发表时间）