On Nash equilibrium solutions in stochastic dynamic games
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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.