On the stabilizing solution of the Riccati equation arising in connection with discrete-time stochastic zero sum LQ dynamic games with periodic coefficients
AbstractWe consider the discrete-time stochastic zero sum LQ dynamic games with periodic coefficients. We point out the role of the stabilizing solution of the considered Riccati equation. In addition, an iterative method for numerical computation of the stabilizing and periodic solution of the Riccati equationВ satisfying the sign conditions is presented. The performance of the proposed method is illustrated on a numerical example. For the deterministic caseВ a part of the results presented here may be found in the literature.
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