Linear Quadratic Nash Game of Stochastic Singular Time-Delay Systems with Multiple Decision Makers

Zhu Huainian (), Zhang Guangyu (), Zhang Chengke (), Zhu Ying () and Zhou Haiying ()
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Zhu Huainian: School of Economics & Commence, Guangdong University of Technology, Guangzhou510520, China
Zhang Guangyu: School of Management, Guangdong University of Technology, Guangzhou510520, China
Zhang Chengke: School of Economics & Commence, Guangdong University of Technology, Guangzhou510520, China
Zhu Ying: School of Management, Guangdong University of Technology, Guangzhou510520, China
Zhou Haiying: School of Management, Guangdong University of Technology, Guangzhou510520, China

Journal of Systems Science and Information, 2015, vol. 3, issue 5, 472-480

Abstract: This paper discusses linear quadratic Nash game of stochastic singular time-delay systems governed by Itô’s differential equation. Sufficient condition for the existence of Nash strategies is given by means of linear matrix inequality for the first time. Moreover, in order to demonstrate the usefulness of the proposed theory, stochastic H2∕H∞ control with multiple decision makers is discussed as an immediate application.

Keywords: singular system; time-delay system; Nash game; stochastic H2∕H∞ control (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:jossai:v:3:y:2015:i:5:p:472-480:n:8

DOI: 10.1515/JSSI-2015-0472

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