Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application

Huai-nian Zhu, Cheng-ke Zhang and Ning Bin

International Journal of Systems Science, 2014, vol. 45, issue 5, 1196-1201

Abstract: In this paper, we deal with the problem of stochastic Nash differential games of Markov jump linear systems governed by Itô-type equation. Combining the stochastic stabilizability with the stochastic systems, a necessary and sufficient condition for the existence of the Nash strategy is presented by means of a set of cross-coupled stochastic algebraic Riccati equations. Moreover, the stochastic H2/H∞ control for stochastic Markov jump linear systems is discussed as an immediate application and an illustrative example is presented.

Date: 2014
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DOI: 10.1080/00207721.2012.745031

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