LQ Pareto Game of the Stochastic Singular Systems in Finite Horizon

Yaning Lin () and Weihai Zhang ()
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Yaning Lin: Shandong University of Technology, School of Mathematics and Statistics
Weihai Zhang: Shandong University of Science and Technology, College of Electrical Engineering and Automation

Chapter Chapter 4 in Essays on Pareto Optimality in Cooperative Games, 2022, pp 49-67 from Springer

Abstract: Abstract This chapter discusses LQ Pareto game of the stochastic singular systemsStochastic singular systems in finite horizon. First, finite horizon LQ optimal control problem of the stochastic singular systems is investigated. By introducing a new GDRE, we present a sufficient condition for the solvability of the optimization problem. In addition, we introduce two conditions to ensure the existence and uniqueness of the solution to the GDRE. Then, for the finite horizon stochastic singular LQ Pareto game, the solvability of the corresponding GDRE provides a sufficient condition for us to obtain all Pareto-efficient strategies using the weighted sum minimization method. Finally, an example is provided to show the effectiveness of our main results.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-19-5049-0_4

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DOI: 10.1007/978-981-19-5049-0_4

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