摘要
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 Its 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.
出处
《西安电子科技大学学报》
EI
CAS
CSCD
北大核心
2000年第5期635-637,共3页
Journal of Xidian University
基金
国家自然科学基金资助项目 !(69972 0 36)
关键词
随机微分对策
随机控制
NASH平衡
动态规划
nonzero-sum stochastic d ifferential games
risk sensitive stochastic control
feedback Nash equilibria