On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case

DOI10.1080/10236198.2020.1801661zbMath1453.91017arXiv2006.01486OpenAlexW3048789344MaRDI QIDQ5132585

Vasile Dragan, Samir Aberkane

Publication date: 12 November 2020

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.01486

zbMATH Keywords

stochastic controlzero-sum dynamic gamesstabilizing solutionstochastic Riccati equations

Mathematics Subject Classification ID

2-person games (91A05) Discrete-time games (91A50) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Cites Work

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• Matrix Riccati equations in control and systems theory
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• Generalized Riccati equations arising in stochastic games
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• Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
• On the bounded and stabilizing solution of a generalized Riccati differential equation arising in connection with a zero‐sum linear quadratic stochastic differential game
• On the Existence of the Stabilizing Solution of a Class of Periodic Stochastic Riccati Equations
• Robust stabilisation of discrete-time time-varying linear systems with Markovian switching and nonlinear parametric uncertainties
• Bounded Real Lemma for Nonhomogeneous Markovian Jump Linear Systems
• An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach
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