A Game—Theoretic Model for a Stochastic Linear Quadratic Tracking Problem
In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by a system of linear Itô differential equations subject to jump Markov perturbations. We consider the case when there are two decision-makers and each of them wants to minimize the dev...
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| Principais autores: | , , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
MDPI AG
2023-01-01
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| Serier: | Axioms |
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| Online adgang: | https://www.mdpi.com/2075-1680/12/1/76 |
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