A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations

Samir Aberkane () and Vasile Dragan
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Samir Aberkane: Campus Sciences, Université de Lorraine, CRAN, UMR 7039, BP 70239, Vandoeuvre-les-Nancy CEDEX, 54506 Nancy, France
Vasile Dragan: Institute of Mathematics of the Romanian Academy, P.O. Box 1-764, RO-014700 Bucharest, Romania

Mathematics, 2023, vol. 11, issue 9, 1-16

Abstract: In this paper, we are interested in the numerical aspects of the class of generalized Riccati difference equations which are involved in linear quadratic (LQ) stochastic difference games. More specifically, we address the problem of the numerical computation of the stabilizing solutions for this class of nonlinear difference equations. We propose an iterative deterministic algorithm for the computation of such a global solution. The performances of the proposed algorithm are illustrated with some numerical examples.

Keywords: stochastic Riccati equations; stochastic control; iterative computation; deterministic approach (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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