Linear Quadratic Nonzero Sum Differential Games with Asymmetric Information
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-08-05
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
This paper studies a linear quadratic nonzero sum differential game problem with asymmetric information.
Compared with the existing literature, a distinct feature is that the information available to players is asymmetric.
Nash equilibrium points are obtained for several classes of asymmetric information by stochastic maximum principle and technique of completion square.
The systems of some Riccati equations and forward-backward stochastic filtering equations are introduced and the existence and uniqueness of the solutions are proved.
Finally, the unique Nash equilibrium point for each class of asymmetric information is represented in a feedback form of the optimal filtering of the state, through the solutions of the Riccati equations.
American Psychological Association (APA)
Chang, Dejian& Xiao, Hua. 2014. Linear Quadratic Nonzero Sum Differential Games with Asymmetric Information. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-458448
Modern Language Association (MLA)
Chang, Dejian& Xiao, Hua. Linear Quadratic Nonzero Sum Differential Games with Asymmetric Information. Mathematical Problems in Engineering No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-458448
American Medical Association (AMA)
Chang, Dejian& Xiao, Hua. Linear Quadratic Nonzero Sum Differential Games with Asymmetric Information. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-458448
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-458448