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One kind of linear-quadratic zero-sum stochastic differential game with jumps
International Journal of Control ( IF 1.6 ) Pub Date : 2020-12-17 , DOI: 10.1080/00207179.2020.1859136 Zhiyong Yu 1 , Baokai Zhang 1 , Feng Zhang 2
中文翻译:
一种带跳跃的线性二次零和随机微分博弈
更新日期:2020-12-17
International Journal of Control ( IF 1.6 ) Pub Date : 2020-12-17 , DOI: 10.1080/00207179.2020.1859136 Zhiyong Yu 1 , Baokai Zhang 1 , Feng Zhang 2
Affiliation
This paper is concerned with one kind of two-person zero-sum linear-quadratic stochastic differential game with jumps. A closed-loop formulation for the saddle points of the game is established in a mixed-strategy-law form, for which the associated Riccati equation and Hamiltonian system are solved.
中文翻译:
一种带跳跃的线性二次零和随机微分博弈
本文研究一种带跳跃的两人零和线性二次随机微分博弈。以混合策略法的形式建立了博弈鞍点的闭环公式,并求解了相关的 Riccati 方程和哈密顿系统。