Stochastic Adaptive Linear Quadratic Differential Games

Game theory is playing more and important roles in understanding complex systems investigating intelligent machines with various uncertainties. As a starting point, we consider the classical two-player zero-sum linear-quadratic stochastic differential games, but contrast to most of existing studies, coefficient matrices are assumed be unknown both players, consequently it necessary study adaptive strategies which may termed as games has rarely been explored literature. In this paper, by introducing suitable information structure for will show that can established on designed based certainty equivalence principle diminishing excitation technique. Under almost same physical conditions those traditional known parameters case, shown closed-loop game globally stable asymptotically reach Nash equilibrium.