An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach
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Publication:5502184
DOI10.1137/130947465zbMath1332.60089OpenAlexW941869882WikidataQ115246985 ScholiaQ115246985MaRDI QIDQ5502184
Publication date: 18 August 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130947465
stochastic optimal controllinear-quadratic problemRiccati equationstochastic differential gameforward-backward stochastic differential equationoptimal feedback control-strategy pair
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal feedback synthesis (49N35) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)
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