Generalized Riccati equations arising in stochastic games

DOI10.1016/j.laa.2005.12.011zbMath1100.91008OpenAlexW2030925590MaRDI QIDQ2496640

Libin Mou, Michael J. McAsey

Publication date: 20 July 2006

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2005.12.011

zbMATH Keywords

monotonicityexistencecomparison theoremRiccati equationstochastic differential gameupper and lower solutionlinear quadratic stochastic zero-sum game

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Growth and boundedness of solutions to ordinary differential equations (34C11)

Related Items (8)

Perturbations and projections of Kalman-Bucy semigroups ⋮ Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions ⋮ Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria ⋮ On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case ⋮ Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise ⋮ An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games ⋮ On the robustness of Riccati flows to complete model misspecification ⋮ Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games

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