Acta Mathematica Vietnamica
- Volume 49
- Volume 48
- Volume 47
- Volume 46
- Volume 45
- Volume 44
- Volume 43
- Volume 42
- Volume 41
- Volume 40
- Volume 39
- Volume 38
- Volume 37
- Volume 36
- Volume 35
- Volume 34
- Volume 33
- Volume 32
- Volume 31
- Volume 30
- Volume 29
- Volume 28
- Volume 27
- Volume 26
- Volume 25
- Volume 24
- Volume 23
- Volume 22
- Volume 21
- Volume 20
- Volume 19
- Volume 18
- Volume 17
- Volume 16
- Volume 15
- Volume 14
- Volume 13
- Volume 12
- Volume 11
- Volume 10
- Volume 9
- Volume 8
- Volume 7
- Volume 6
- Volume 5
- Volume 4
- Volume 3
- Volume 2
- Volume 1
Linear Quadratic Nash Differential Games of Stochastic Singular Systems with Markovian Jumps
Bin Liu
,
Xin Wang
Abstract
This paper investigates Nash games for stochastic singular systems with Markovian jumps. Based on the generalized Itô’s formula, the corresponding linear quadratic optimal control problem is studied for the first time. Then, we establish the existence of Nash strategies by means of generalized coupled Riccati algebraic equations. As an application, the stochastic $H_2/H_{\infty}$ control with state, control, and external disturbance-dependent noise is discussed.