一种随机微分对策的Nash平衡

A Nash equilibria of stochastic differential games

利用动态规划原理和值函数的概念 ,在It^o微分的意义下讨论了IHRS线性二次型随机控制问题的最优控制率 ,研究了具有参数的动态系统和具有参数的价值函数的IHRS线性二次型两人非零和随机微分对策 。

The optimal contro l rate of the infinite horizon risk sensitive linear quadratic stochastic contro l problems is discussed using the principle of the dynamic programming and the c oncepts of value function under Its differential rule. The IHRS linea r quadratic two-person stochastic nonzero-sum differential game with parameter ized dynamic systems and cost functions is studied. The pair of Nash equilibria is obtained for this kind of game.