Infinite-Time Linear Quadratic Differential Games for Stochastic System with Markov Jumps and Multiplicative Noise
This paper discusses the linear quadratic (LQ) differential games for stochastic systems with Markov jumps and multiplicative noise in in.nite-time case. We introduce the de.nitions of exact detectability and stochastic detectability and the connection between them, which have close relation to Lyapunov equation. Based on Lyapunov equation, we obtain four-coupled algebraic Riccati equations (AREs), which are essential on. nding the optimal strategies (Nash equilibrium strategies) and the optimal cost values for in.nite stochastic differential games with Markov jumps. In addition, we also propose the PBH criterions of exact detectability for stochastic systems with Markov jumps.
stochastic differential games Stochastic detectability Markov jumps Exact detectability Algebraic Riccati equations
Huiying Sun Luning Li 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
1728-1732
2011-05-23（万方平台首次上网日期，不代表论文的发表时间）