标题：Infinite time nonzero-sum linear quadratic stochastic differential games
作者：Sun, Huiying ;Li, Meng ;Zhang, Weihai
作者机构：[Sun, Huiying ;Li, Meng ;Zhang, Weihai ] College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266 更多
来源：Proceedings of the 29th Chinese Control Conference, CCC'10
摘要：In this paper, we deal with the problem of infinite time nonzero-sum linear quadratic differential games of the stochastic system governed by Itoˆ-type equation with state noise. Combining the stochastic exact observability or exact detectability with the stochastic differential games, some theorems are obtained that show the optimal strategies and the optimal cost values are associated with four coupled equations. Finally, a numerical example is given to demonstrate our results.