广东工业大学学报 ›› 2012, Vol. 29 ›› Issue (3): 35-38.doi: 10.3969/j.issn.1007-7162.2012.03.006

• 综合研究 • 上一篇    下一篇

一类不定仿线性二次型随机微分博弈的鞍点均衡策略

朱怀念1，张成科2，李云龙1，杨超进1   

  1. 广东工业大学 1.管理学院； 2.经济与贸易学院，广东 广州 510520
  • 收稿日期:2012-02-21 出版日期:2012-09-20 发布日期:2012-09-20
  • 作者简介:朱怀念(1985-)，男，博士研究生. 主要研究方向为管理系统工程、博弈论.
  • 基金资助:

    国家自然科学基金资助项目(71171061);广东省自然科学基金资助项目(S2011010004970)

Saddlepoint Equilibrium Strategy for a Class of Indefinite Affinequadratic Stochastic Differential Games

Zhu Huainian1, Zhang Chengke2, Li Yunlong1, Yang Chaojin1   

  1. 1. School of Management; 2. School of Economics & Commence, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2012-02-21 Online:2012-09-20 Published:2012-09-20

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摘要： 研究了一类连续时间不定仿线性二次型随机微分博弈的鞍点均衡问题，在It微分的意义下，通过引入一个广义Riccati微分方程(GRDE)，证明了该GRDE的可解性是相应随机微分博弈问题均衡策略存在的一个充分必要条件，同时给出了最优策略闭环形式的显式解以及最优性能指标值，所得的结论拓展了已有的有关确定性微分博弈和权系数矩阵正定情形下的随机微分博弈的结果.

关键词: 随机微分博弈；鞍点均衡；广义Riccati微分方程

Abstract: It discusses the saddlepoint equilibrium strategy for indefinite affinequadratic stochastic differential games in continuous time. By introducing a generalized Riccati differential equation (GRDE), it proves that under the condition of Its differential rule, the solvability of GRDE is both the sufficient and necessary condition for the existence of equilibrium strategies. Meanwhile, the explicit solution of equilibrium strategies with closed forms and the optimal value of cost function are obtained. The results expand the previous results of the ordinary deterministic differential games and stochastic differential games with definite weight cost matrices.

Key words: stochastic differential games; saddlepoint equilibrium; generalized Riccati differential equation

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