线性Markov切换系统的随机Nash微分博弈及混合H2H-ResearchGate.PDF

See discussions, stats, and author profiles for this publication at: /publication/267470440 Linear quadratic stochastic Nash differential games and mixed H 2 /H ∞ control for Markov jump linear systems Article  in   Kongzhi yu Juece/Control and Decision · A ugust 2013 CITATION READS 1 29 3 authors, including: Zhu Huainian 30 PUBLICATIONS   22 CITATIONS    SEE PROFILE Some of the authors of this publication are also working on these related projects: Optimal invest strategy for DC pension plans with exogenous (or endogenous) liability under the mean-variance model (or utility maximization model) View project All content following this page was uploaded by Zhu Huainian on 30 A ugust 2017. The user has requested enhancement of the downloaded file. 第28 卷 第8 期 控 制 与 决 策 2013 年 8 月 Vol. 28 No. 8 Control and Decision Aug. 2013 文章编号: 1001-0920 (2013) 08-1157-08 线性Markov 切换系统的随机Nash 微分博弈 及混合 / 控制 2 ∞ a b b 朱怀念, 张成科 , 王明亮 (广东工业大学a. 管理学院，b. 经济与贸易学院，广州510520) 摘 要: 研究线性Markov 切换系统的随机Nash 微分博弈问题. 首先借助线性Markov 切换系统随机最优控制的相 关结果, 得到了有限时域和无线时域Nash 均衡解的存在条件等价于其相应微分(代数) Riccati 方程存在解, 并给出了 最优解的显式形式; 然后应用相应的微分博弈结果分析线性Markov 切换系统的混合 / 控制问题; 最后通过数 2 ∞ 值算例验证了所提出方法的可行性. 关键词: 线性Markov 切换系统；微分博弈；混合 / 控制