Linear Exponential Quadratic Stochastic Differential Games

被引：25
|
作者：
Duncan, Tyrone E. [1 ]
机构：
[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2016年 / 61卷 / 09期
基金：
美国国家科学基金会;
关键词：
Linear exponential quadratic Gaussian (LEQG); linear quadratic Gaussian (LQG); INTEGRAL PERFORMANCE INDEX; SYSTEMS; CRITERIA;
D O I：
10.1109/TAC.2015.2510983
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this technical note a two person noncooperative stochastic differential game described by a linear stochastic equation with a Brownian motion and a payoff that is the exponential of a quadratic functional in the state and the control strategies of the two players is explicitly solved. The optimal strategies form a Nash equilibrium. The value of the game is also determined explicitly. The solution of this problem is naturally related to a linear quadratic stochastic differential game and a linear exponential quadratic control problem.
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页码：2550 / 2552
页数：3
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