On the stabilizing solution of the Riccati equation arising in connection with discrete-time stochastic zero sum LQ dynamic games with periodic coefficients

Authors

  • Vasile Dragan Vasile Dragan Institute of Mathematics "Simion Stoilow" of the Romanian Academy Research Unit 2, P.O.Box 1-764,RO-014700, Bucharest, Romania Vasile.Dragan@imar.ro

Abstract

We 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.

Downloads

Published

2016-08-16

Issue

Vol. 3 No. 2 (2016)

Section

Conference Keynote Presentations

License

The journal Biomath Communications is an open access journal. All published articles are immeditely available online and the respective DOI link activated. All articles can be access for free and no reader registration of any sort is required. No fees are charged to authors for article submission or processing. Online publications are funded through volunteer work, donations and grants.

Authors who publish with this journal agree to the following terms:

  • Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License 4.0 that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  • Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  • Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).