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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-01-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/1/76 |