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Stochastic Differential Games with Multiple Modes
We have studied two-person stochastic differential games with multiple modes. For the zero-sum game we have established the existence of optimal strategies for both players. For the non- zero sum case we have proved the ...
A Note on an LQG Regulator with Markovian Switching and Pathwise Average Cost
We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the ...