Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

DOI10.1007/978-3-030-48306-7zbMath1455.93004OpenAlexW3040080951MaRDI QIDQ5114464

Jingrui Sun, Jiong-min Yong

Publication date: 23 June 2020

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-48306-7

zbMATH Keywords

differential gamesRiccati equationclosed-loop Nash equilibriastochastic optimal control theory

Mathematics Subject Classification ID

Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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