Stochastic Nash Games for Markov Jump Linear Systems with State- and Control-Dependent Noise
| Autor: | Ning Bin, Huai-nian Zhu, Cheng-ke Zhang |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
Stochastic control
Computer Science::Computer Science and Game Theory Continuous-time stochastic process Mathematical optimization Differential equation Management Science and Operations Research Stochastic partial differential equation Stochastic differential equation symbols.namesake Nash equilibrium symbols Stochastic optimization Differential (mathematics) Mathematics |
| Zdroj: | Journal of the Operations Research Society of China. 2:481-498 |
| ISSN: | 2194-6698 2194-668X |
| DOI: | 10.1007/s40305-014-0064-9 |
| Popis: | This paper investigates Nash games for a class of linear stochastic systems governed by Ito’s differential equation with Markovian jump parameters both in finite-time horizon and infinite-time horizon. First, stochastic Nash games are formulated by applying the results of indefinite stochastic linear quadratic (LQ) control problems. Second, in order to obtain Nash equilibrium strategies, cross-coupled stochastic Riccati differential (algebraic) equations (CSRDEs and CSRAEs) are derived. Moreover, in order to demonstrate the validity of the obtained results, stochastic H 2/H ∞ control with state- and control-dependent noise is discussed as an immediate application. Finally, a numerical example is provided. |
| Databáze: | OpenAIRE |
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