Two-Person Zero-Sum Stochastic Differential Games for Discrete-Time Systems

Abstract:

This paper discusses two-person zero-sum stochastic differential games for discrete-time systems. The controls for both players are allowed to appear in both the drift and diffusion of the state equation, the weighting matrices in payoff/cost functional are not assumed to be definite. A generalized difference Riccati equation is introduced and the relationship between solvability of the equation and the existence of the saddle point has been given. Furthermore, making use of upper and lower solutions to Riccati equation, we obtained some other results.

• Periodical: Advanced Materials Research (Volumes 433-440)
• Pages: 3510-3513
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.433-440.3510
• Online since: January 2012
• Authors: Shao Wei Zhou
• Keywords: Discrete-Time System, Generalized Difference Riccati Equation, Saddle Point, Stochastic Differential Game

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