Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon

DOI10.1051/cocv/2015024zbMath1342.93122arXiv1404.7220OpenAlexW2319492711MaRDI QIDQ2994671

Jingrui Sun, Shuguang Zhang, Jiong-min Yong

Publication date: 3 August 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7220

zbMATH Keywords

infinite horizonalgebraic Riccati equationzero-sumstabilizing solutiontwo-personlinear quadratic stochastic differential gameopen-loop and closed-loop saddle points

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (11)

Uncertain saddle point equilibrium differential games with non-anticipating strategies ⋮ Stochastic linear quadratic optimal control problems in infinite horizon ⋮ Robust Mean Field Linear Quadratic Social Control: Open-Loop and Closed-Loop Strategies ⋮ Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games ⋮ Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria ⋮ The iterative solution to LQ zero-sum stochastic differential games ⋮ Mean‐field games for multiagent systems with multiplicative noises ⋮ Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability ⋮ Mean-field linear-quadratic stochastic differential games in an infinite horizon ⋮ Linear-quadratic zero-sum mean-field type games: optimality conditions and policy optimization ⋮ Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games

Cites Work

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