AM  Vol.3 No.10 A , October 2012
Infinite Horizon LQ Zero-Sum Stochastic Differential Games with Markovian Jumps
ABSTRACT
This paper studies a class of continuous-time two person zero-sum stochastic differential games characterized by linear It?’s differential equation with state-dependent noise and Markovian parameter jumps. Under the assumption of stochastic stabilizability, necessary and sufficient condition for the existence of the optimal control strategies is presented by means of a system of coupled algebraic Riccati equations via using the stochastic optimal control theory. Furthermore, the stochastic H control problem for stochastic systems with Markovian jumps is discussed as an immediate application, and meanwhile, an illustrative example is presented.

Cite this paper
H. Zhu, C. Zhang and N. Bin, "Infinite Horizon LQ Zero-Sum Stochastic Differential Games with Markovian Jumps," Applied Mathematics, Vol. 3 No. 10, 2012, pp. 1321-1326. doi: 10.4236/am.2012.330188.
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