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• W3048789344 abstract "In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is investigated. As an application of the obtained existence results, we address in a second step the problem of infinite-horizon zero-sum two players linear quadratic (LQ) dynamic 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 an optimal control problem, a crucial role is played by the unique bounded and stabilizing solution of the considered class of generalized Riccati equations." @default.
• W3048789344 created "2020-08-18" @default.
• W3048789344 creator A5037213683 @default.
• W3048789344 creator A5038523391 @default.
• W3048789344 date "2020-07-02" @default.
• W3048789344 modified "2023-10-09" @default.
• W3048789344 title "On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case" @default.
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• W3048789344 doi "https://doi.org/10.1080/10236198.2020.1801661" @default.
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