Linear quadratic Pareto game of the stochastic systems in infinite horizon

DOI10.1007/s10957-019-01553-4zbMath1425.91050OpenAlexW2955392190MaRDI QIDQ2275331

Yaning Lin

Publication date: 2 October 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01553-4

zbMATH Keywords

infinite horizonPareto optimalitystochastic differential gamegeneralized algebraic Riccati equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (3)

Pareto efficiency of finite-horizon mean-field cooperative stochastic differential games with Poisson jumps ⋮ Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games ⋮ Pareto efficiency in the infinite horizon mean-field type cooperative stochastic differential game

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