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- W2733965575 abstract "This paper is concerned with a stochastic two-person nonzero-sum differential game (NZSDG) in which one player has access to delayed closed- loop perfect state information, while the other player makes no observation. The state of the game evolves according to a linear Ito stochastic differential equation with the additive stochastic term being characterized by an independent-increment gaussian process whose incremental covariance function is positive definite. The cost function of each player is taken to be quadratic in both the state and control variables, and for this class of problems it is shown that the existence and uniqueness of the Nash equilibrium solution is related to existence and uniqueness of the solution to some coupled integro-differential equations. It has been verified that every Nash strategy for player 1 is comprised of an affine integral transformation on his entire past state information plus a linear transformation on his most recent delayed information. The paper also contains explicit expressions for the equilibrium solution, which are structurally very different than their counterparts in the case of no information delay." @default.
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- W2733965575 date "1978-01-01" @default.
- W2733965575 modified "2023-09-27" @default.
- W2733965575 title "Stochastic Linear-Quadratic Nonzero-Sum Differential Games with Delayed Information Patterns" @default.
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- W2733965575 doi "https://doi.org/10.1016/s1474-6670(17)66050-6" @default.
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