TY - CHAP
T1 - Explicit solutions of linear quadratic differential games
AU - Bensoussan, A.
PY - 2006
Y1 - 2006
N2 - The theory of linear quadratic differential games is in principle known. An excellent reference for management and economics applications is Dockner et al. (2000). We review here the results, showing that in useful simple cases, explicit solutions are available. This treatment is not included in the previous reference and seems to be original. In non-stationary cases, explicit solutions are not available, we prove the existence of solutions of coupled Riccati equations, which provide a complete solution of the Nash equilibrium problem.
AB - The theory of linear quadratic differential games is in principle known. An excellent reference for management and economics applications is Dockner et al. (2000). We review here the results, showing that in useful simple cases, explicit solutions are available. This treatment is not included in the previous reference and seems to be original. In non-stationary cases, explicit solutions are not available, we prove the existence of solutions of coupled Riccati equations, which provide a complete solution of the Nash equilibrium problem.
UR - https://www.scopus.com/pages/publications/84937864397
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84937864397&origin=recordpage
U2 - 10.1007/0-387-33815-2_2
DO - 10.1007/0-387-33815-2_2
M3 - RGC 12 - Chapter in an edited book (Author)
VL - 94
T3 - International Series in Operations Research and Management Science
SP - 19
EP - 34
BT - International Series in Operations Research and Management Science
PB - Springer New York
ER -