On Nash equilibrium solutions in stochastic dynamic games Academic Article

abstract

• We consider Nash equilibrium solutions in linear, quadratic, Gaussian stochastic differential games where the two players have access to noise-corrupted information. A class of such games is identified for which each player has optimal solutions which are fmlte-dunenskmally hnplementable. Utilizing these solutions, we propose, for either player, a finite-dimensionaliy hnplementable suboptimal solution to the general linear quadratic, Gaussian zero-sum stochastic differential game where both players have access to differing noise-corrupted observations. This solution possesses the property that it guarantees a computable lower bound for the performance of a player adopting it. Copyright 1981 by The Institute of Electrical and Electronics Engineers, Inc.

authors

• Kumar, Panganamala

published proceedings

• IEEE Transactions on Automatic Control

author list (cited authors)

• Kumar, P., & Van Schuppen, J.

citation count

• 21

complete list of authors

• Kumar, P||Van Schuppen, J

publication date

• December 1980

publisher

• Institute of Electrical and Electronics Engineers (IEEE)  Publisher

published in

• IEEE Transactions on Automatic Control  Journal

Digital Object Identifier (DOI)

• 10.1109/tac.1980.1102543

start page

• 1146

end page

• 1149

volume

• 25

issue

• 6

URL

• http://dx.doi.org/10.1109/tac.1980.1102543