Randomized and Stochastic Linear, Discrete Differential Games with Quadratic Payoff Functions.

摘要

This report deals with a limited, though still extensive, class of differential games. The system dynamics are given by linear difference equations which may have time varying, but deterministic, coefficients. In some of the work, an independent noise sequence is also allowed which then acts as a random forcing function. The system is allowed to change in response to each player's controls for a specified length of time -- a specified number of stages. The payoff is a quadratic function of the state and the two control variables at each stage.