The iterative solution to LQ zero-sum stochastic differential games
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DOI: 10.1007/s12190-017-1086-3
Abstract: We consider a generalized algebraic Riccati equation arising in stochastic control with an indefinite quadratic part. Three effective methods for computing a matrix sequence, which converges to the stabilizing solution of the considered type of… read more here.
Keywords: sum stochastic; stochastic differential; solution; zero sum ... See more keywords
Two-Player Nonzero-Sum Stochastic Differential Games with Switching Controls
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DOI: 10.3390/math12243976
Abstract: In this paper, a two-player nonzero-sum stochastic differential game problem is studied with both players using switching controls. A verification theorem associated with a set of variational inequalities is established as a sufficient criterion for… read more here.
Keywords: sum stochastic; two player; player nonzero; stochastic differential ... See more keywords