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On the Existence of the Stabilizing Solution of a Class of Periodic Stochastic Riccati Equations.
- Source :
-
IEEE Transactions on Automatic Control . Mar2020, Vol. 65 Issue 3, p1288-1294. 7p. - Publication Year :
- 2020
-
Abstract
- This paper is devoted to the characterization of existence and uniqueness conditions for the stabilizing solution of a large class of Riccati equations arising in stochastic dynamic games. As an application of the obtained results, we consider in a second step the problem of a zero-sum two players linear quadratic difference game for a stochastic discrete-time dynamical system subject to both random switching of its coefficients and multiplicative noise. We show that in the solution of such a control problem, a crucial role is played by the stabilizing solution of the considered class of Riccati difference equations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00189286
- Volume :
- 65
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Automatic Control
- Publication Type :
- Periodical
- Accession number :
- 143314031
- Full Text :
- https://doi.org/10.1109/TAC.2019.2927589