Linear Quadratic Nash Differential Games of Stochastic Singular Systems

被引：0
作者：
Haiying ZHOU
Huainian ZHU
Chengke ZHANG
机构：
[1] School of Economics and Commerce
[2] School of Management
[3] Guangdong University of Technology
来源：
Journal of Systems Science and Information | 2014年 / 2卷 / 06期
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
D O I：
暂无
中图分类号：
O175 [微分方程、积分方程];
学科分类号：
070104 ;
摘要：
In this paper, we deal with the Nash differential games of stochastic singular systems governed by It?o-type equation in finite-time horizon and infinite-time horizon, respectively. Firstly,the Nash differential game problem of stochastic singular systems in finite time horizon is formulated.By applying the results of stochastic optimal control problem, the existence condition of the Nash strategy is presented by means of a set of cross-coupled Riccati differential equations. Similarly, under the assumption of the admissibility of the stochastic singular systems, the existence condition of the Nash strategy in infinite-time horizon is presented by means of a set of cross-coupled Riccati algebraic equations. The results show that the strategies of each players interact.
引用
收藏
页码：553 / 560
页数：8
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