Game-theoretic coupled riccati equations associated to controlled linear differential systems with jump markov perturbations

DOI10.1081/SAP-120000219zbMath1050.93076MaRDI QIDQ2758166

Vasile Dragan, Toader Morozan

Publication date: 2001

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Riccati equationMarkov jump processstabilizing solutiondifferential equation with control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (5)

A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control ⋮ Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic \(H_\infty\) control problems ⋮ Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping. ⋮ Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise ⋮ Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application

Cites Work

• Unnamed Item
• Unnamed Item
• Almost periodic differential equations
• A survey of design methods for failure detection in dynamic systems
• Global solutions to a game-theoretic Riccati equation of stochastic control
• Optimal stationary control for dynamic systems with Markov perturbations
• The Standard $H_\infty $ Problem and the Maximum Principle: The General Linear Case
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Stochastic stability of coupled linear systems: a survey of methods and results
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
• $H^\infty $ Control of Linear Time-Varying Systems: A State-Space Approach
• Parametrized riccati equations for controlled linear differential systems with jump Markov perturbations
• Stochastic $H^\infty$
• Stability and control for linear systems with jump Markov perturbations
• Robust production and maintenance planning in stochastic manufacturing systems
• A NEW APPROACH TO ALMOST PERIODICITY

This page was built for publication: Game-theoretic coupled riccati equations associated to controlled linear differential systems with jump markov perturbations