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Journal of Optimization Theory and Applications

, Volume 64, Issue 1, pp 127–140 | Cite as

On linear stochastic differential games with average cost criterions

  • H. Morimoto
  • M. Ohashi
Contributed Papers

Abstract

In this paper, we consider scalar linear stochastic differential games with average cost criterions. We solve the dynamic programming equations for these games and give the synthesis of saddle-point and Nash equilibrium solutions.

Key Words

Stochastic differential games average cost dynamic programming LQG games constraints 

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Copyright information

© Plenum Publishing Corporation 1990

Authors and Affiliations

  • H. Morimoto
    • 1
  • M. Ohashi
    • 2
  1. 1.Department of Mathematics, Faculty of General EducationEhime UniversityMatsuyamaJapan
  2. 2.Department of Information Sciences, Faculty of General EducationEhime UniversityMatsuyamaJapan

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