Abstract
The discrete- and continuous-time Riccati equations, which play a prominent role in linear-quadratic control and filtering theory (as discussed extensively in other chapters of this book), appear also in discrete- and continuous-time dynamic games, albeit in more general forms. Both the existence and the characterization of nonco-operative equilibria in zero-sum and nonzero-sum linear-quadratic dynamic games, under saddle-point, Nash and Stackelberg equilibrium concepts, involve the solutions of these generalized matrix Riccati (differential or algebraic) equations.
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Başar, T. (1991). Generalized Riccati Equations in Dynamic Games. In: Bittanti, S., Laub, A.J., Willems, J.C. (eds) The Riccati Equation. Communications and Control Engineering Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58223-3_11
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DOI: https://doi.org/10.1007/978-3-642-58223-3_11
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