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Journal of Applied Mathematics and Computing

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09-02-2017 | Original Research

The iterative solution to LQ zero-sum stochastic differential games

Authors: Ivan G. Ivanov, Ivelin G. Ivanov

Published in: Journal of Applied Mathematics and Computing | Issue 1-2/2018

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Abstract

We consider a generalized algebraic Riccati equation arising in stochastic control with an indefinite quadratic part. Three effective methods for computing a matrix sequence, which converges to the stabilizing solution of the considered type of Riccati equations with indefinite quadratic parts are explored. Convergence properties of these methods are studied. Computer realizations of the presented methods are numerically compared. Based on the experiments the main conclusion is that the Lyapunov iteration is faster than the Riccati iteration because these methods carry the same number of iterations. The iterative methods are numerically compared and investigated.

previous article Differential equations arising from polynomials of derangements and structure of their zeros

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Title: The iterative solution to LQ zero-sum stochastic differential games
Authors: Ivan G. Ivanov
Ivelin G. Ivanov
Publication date: 09-02-2017
Publisher: Springer Berlin Heidelberg
Published in: Journal of Applied Mathematics and Computing / Issue 1-2/2018
Print ISSN: 1598-5865
Electronic ISSN: 1865-2085
DOI: https://doi.org/10.1007/s12190-017-1086-3

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