Linear-quadratic stochastic differential games for distributed parameter systems

Aihara, S.-I. and Bagchi, A. (1987) Linear-quadratic stochastic differential games for distributed parameter systems. Computers & Mathematics with Applications, 13 (1-3). pp. 247-259. ISSN 0898-1221

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Abstract:	A linear-quadratic differential game with infinite dimensional state space is considered. The system state is affected by disturbance and both players have access to different measurements. Optimal linear strategies for the pursuer and the evader, when they exist, are explicitly determined.
Item Type:	Article
Copyright:	© 1987 Elsevier Science
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/69883
Official URL:	http://dx.doi.org/10.1016/0898-1221(87)90108-8
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