International Journal of Systems Science · 2001 · 13 citations · 0 references
Natural SciencesMathematicsGame TheoryProbability TheoryStochastic ProcessesMarkov ProcessesOptimal ControlRisk-sensitive Decision MakingStochastic ControlStochastic GamesStochastic OptimizationControl In Stochastic GamesMarkov Jump ProcessesMarkov Jump SystemsNon-cooperative GamesOptimal Control Of Stochastic SystemsOptimization In Stochastic GamesRisk-sensitive Stochastic GamesStochastic Optimal Control
In this paper we optimally solve a stochastic perfectly observed dynamic game for discrete-time linear systems with Markov jump parameters (LSMJPs). The results here encompass both the cooperative and non-cooperative case. Included also, is a verification theorem. Besides being interesting in its own right, the motivation here lies, inter alia, in the results of recent vintage, which show that, for the classical linear case, the risk-sensitive optimal control problem approach is intimately bound up with the H