This paper deals with the infinite horizon linear quadratic differential games for discrete-time Markovian jum...
SUN Huiying,FENG Chunyu,JIANG Liuyang College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,P.R.China
This paper deals with the infinite horizon linear quadratic (LQ) differential games for discrete-time stochast...
Huiying Sun,Liuyang Jiang are with the College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,China
This paper deals with the infinite horizon linear quadratic (LQ) differential games for discrete-time stochas- tic systems with both state and control dependent noise. The Popov-Belevitch-Hautus (PBH) criteria for exact observability and exact detectability of discrete-time stochastic systems are presented. By means of them, we give the optimal strategies (Nash equilibrium strategies) and the optimal cost values for infinite horizon stochastic differential games. It indicates that the infinite horizon LQ stochastic differential gaines are associated with four coupled matrix-valued equations. Further- more, an iterative algorithm is proposed to solve the four coupled equations. Finally, an example is given to demonstrate our results.
This paper discusses the linear quadratic (LQ) differential games for stochastic systems with Markov jumps and...
Huiying Sun,Luning Li and Liuyang Jiang are with the College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,China