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On linear stochastic differential games with average cost criterions |
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| Authors: | H Morimoto M Ohashi |
| Institution: | (1) Department of Mathematics, Faculty of General Education, Ehime University, Matsuyama, Japan;(2) Department of Information Sciences, Faculty of General Education, Ehime University, Matsuyama, Japan |
| Abstract: | In this paper, we consider scalar linear stochastic differential games with average cost criterions. We solve the dynamic programming equations for these games and give the synthesis of saddle-point and Nash equilibrium solutions.The authors wish to thank A. Ichikawa for providing the initial impetus and helpful advice. |
| Keywords: | Stochastic differential games average cost dynamic programming LQG games constraints |
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