A class of two person zero-sum differential games for continuous-time linear systems which are subjected to the sudden changes in parameter values is studied in the paper. With using the algorithm which is formally similar to Kushner's stochastic maximum principle, the optimal control strategies are derived by means of the coupled differential Riccati equations.
CITATION STYLE
Zhang, G. L., Zhang, C. K., & Zhu, H. N. (2014). Linear quadratic zero-sum differential games for a class of linear systems with Markov jump parameters. In Proceedings of the 5th International Asia Conference on Industrial Engineering and Management Innovation, IEMI 2014 (pp. 161–164). Atlantis Press. https://doi.org/10.2991/978-94-6239-100-0_30
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