Differential Games for Weakly Coupled Large-Scale Linear Stochastic Systems with an H∞-Constraint

DOI10.1142/S0219198917500256zbMath1387.49052OpenAlexW2760484826MaRDI QIDQ4608749

Hua Xu, Hiroaki Mukaidani

Publication date: 28 March 2018

Published in: International Game Theory Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219198917500256

zbMATH Keywords

stochastic large-scale systems\(H_\infty\)-constraintcross-coupled stochastic Riccati differential equations (CSRDEs)robust differential game

Mathematics Subject Classification ID

Differential games and control (49N70) Applications of optimal control and differential games (49N90) Stochastic games, stochastic differential games (91A15) Stochastic systems in control theory (general) (93E03) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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• Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
• Soft-constrained stochastic Nash games for weakly coupled large-scale systems
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Nonlinear Stochastic $H_2/H_\infty$ Control with $(x,u,v)$-Dependent Noise: Infinite Horizon Case
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise

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