带Markov切换参数的线性二次零和随机微分博弈.pdfVIP

系统科学与数学 J. Sys. Sci. Mαth. Scis. 33(12) (2013 , 12), 1391-1403 带 Markov 切换参数的线性二次 零和随机微分博弈 植璜涵 朱怀念 张成科 宾宁 (广东工业大学管理学院，广州 510520; 广东工业大学经济与贸易学院，广州 510520) 摘要研究了一类连续时间带 Markov 切换参数的线性二次零和随机微分博弈问题，在广义 Itδ微分的意义下，通过引入一个广义 Riccati 微分(或者代数)方程，证明了该广义 Riccati 方程的可解性是相应随机微分博弈问题均衡策略存在的一个充分必要条件，同时给出了最 优策略闭环形式的显式解以及最优性能指标值，最后给出了数值算例验证结论的正确性. 关键词随机系统， Markov 切换参数，微分博弈，广义 Riccati 方程 MR(2000) 主题分类号 91A23 LINEAR QUADRATIC ZERO-SUM STOCHASTIC DIFFERENTIAL GAMES WITH MARKOV REGIME SWITCHING ZHU Huainian ZHI Jinghan ZHANG Chengke BIN Ning (School 01 Management , Guαngdong University 01 Technolo凹， Guαngzhou 510520; School 01 Economics αnd Commence, Guαngdong University 01 Technology, Guangzhou 510520) Abstract In this paper , we discuss the problem of a class of linear quadratic zero- sum stochastic differential games with Markov regime switching in continuous time. Under the condition of generalized Itôs differential rule , by introducing a general- ized Riccati differential (algebraic) equation , it is proved that the solvability of the associated generalized Riccati equation is both sufficient and necessary condition for the existence of equilibrium strategies , meanwhile , the explicit solution of equilibrium strategies with closed form and the optimal value of cost functional are obtained. Finally, a numerical example is given to illustrate the validity of the obtained results. *国家自然基金 ，广东省自然基金 (S20l 1010004970)，广