Finite horizon linear quadratic dynamic games for discrete-time stochastic systems with $N$-players

DOI10.1016/j.orl.2016.02.010zbMath1408.91029OpenAlexW2280192752MaRDI QIDQ1790184

Huai-nian Zhu, Cheng-ke Zhang

Publication date: 2 October 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2016.02.010

zbMATH Keywords

Nash strategydiscrete-time stochastic systemsmatrix-valued equationsPareto optimal strategy

Mathematics Subject Classification ID

Discrete-time games (91A50) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

Cites Work

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• A Numerical Analysis of the Nash Strategy for Weakly Coupled Large-Scale Systems
• Cooperative Stochastic Differential Games
• Stochastic differential equations. An introduction with applications.

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