Open-Loop Nash Equilibrium Problem in Polynomial Stochastic Differential Games with Incomplete Information

This paper presents a near-equilibrium solution to the problem of finding open-loop Nash strategies for a stochastic polynomial differential game with incomplete information and over linear observations. Each player has a linear-quadratic cost as the individual performance index. The proposed strategy design is based on the so-called State-Dependent Riccati Equations and works effectively as is shown in a simulation example.