Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 문준 | - |
dc.date.accessioned | 2022-08-04T05:03:12Z | - |
dc.date.available | 2022-08-04T05:03:12Z | - |
dc.date.issued | 2020-10 | - |
dc.identifier.citation | IEEE Control Systems Letters, v. 4, no. 4, page. 868-873 | en_US |
dc.identifier.issn | 2475-1456 | - |
dc.identifier.uri | https://ieeexplore.ieee.org/document/9094058 | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/172089 | - |
dc.description.abstract | We study the affine-quadratic zero-sum stochastic differential game with random coefficients, where the coefficients of the stochastic differential equation (SDE) are random processes and both additive and state multiplicative noise are included in the diffusion term of the corresponding SDE. By applying Itô-Kunita's formula to the quadratic random field, we develop a direct approach, also known as the completion of squares method, to characterize the explicit (feedback) Nash equilibrium and obtain the optimal game value. The characterized Nash equilibrium depends linearly on the state and the additional linear backward SDE. We also verify the optimality of the Nash equilibrium by characterizing the smooth solution of the stochastic Hamilton-Jacobi-Isaacs equation that is the second-order stochastic partial differential equation obtained from dynamic programming. | en_US |
dc.description.sponsorship | This work was supported in part by the National Research Foundation of Korea Grant Funded by the Ministry of Science and ICT, South Korea under Grant NRF-2017R1E1A1A03070936 and Grant NRF-2017R1A5A1015311. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Institute of Electrical and Electronics Engineers Inc. | en_US |
dc.subject | Stochastic systems | en_US |
dc.subject | game theory | en_US |
dc.subject | stochastic optimal control | en_US |
dc.title | A Feedback Nash Equilibrium for Affine-Quadratic Zero-Sum Stochastic Differential Games With Random Coefficients | en_US |
dc.type | Article | en_US |
dc.relation.no | 4 | - |
dc.relation.volume | 4 | - |
dc.identifier.doi | 10.1109/LCSYS.2020.2994642 | - |
dc.relation.page | 868-873 | - |
dc.relation.journal | IEEE Control Systems Letters | - |
dc.contributor.googleauthor | Moon, Jun | - |
dc.relation.code | 2020009463 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ENGINEERING[S] | - |
dc.sector.department | SCHOOL OF ELECTRICAL AND BIOMEDICAL ENGINEERING | - |
dc.identifier.pid | junmoon | - |
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