Robust Equilibria in Indefinite Linear-Quadratic Differential Games

W. A. van den Broek, Jacob Engwerda and Johannes Schumacher
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W. A. van den Broek: University of Twente

Journal of Optimization Theory and Applications, 2003, vol. 119, issue 3, No 7, 565-595

Abstract: Abstract Equilibria in dynamic games are formulated often under the assumption that the players have full knowledge of the dynamics to which they are subject. Here, we formulate equilibria in which players are looking for robustness and take model uncertainty explicitly into account in their decisions. Specifically, we consider feedback Nash equilibria in indefinite linear-quadratic differential games on an infinite time horizon. Model uncertainty is represented by a malevolent input which is subject to a cost penalty or to a direct bound. We derive conditions for the existence of robust equilibria in terms of solutions of sets of algebraic Riccati equations.

Keywords: Feedback Nash equilibrium; robust design; linear-quadratic differential games; soft-constrained differential games; risk sensitivity (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (18)

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DOI: 10.1023/B:JOTA.0000006690.78564.88

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