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math.NA2025
A Convergent Algorithm Based on Deterministic Approximation for a Large Class of Regime-Switching Generalized Stochastic Game-Theoretic Riccati Differential Equations
Yiyuan Wang
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coeff…
math.NA2025
A New Algorithm for Computing the Stabilizing Solution of General Periodic Time-Varying Stochastic Game-Theoretic Riccati Differential Equations
Yiyuan Wang
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Diffe…