%0 Journal Article
%T Infinite Horizon LQ Zero-Sum Stochastic Differential Games with Markovian Jumps
%A Huai-Nian Zhu
%A Cheng-Ke Zhang
%A Ning Bin
%J Applied Mathematics
%P 1321-1326
%@ 2152-7393
%D 2012
%I Scientific Research Publishing
%R 10.4236/am.2012.330188
%X This paper studies a class of continuous-time two person zero-sum stochastic differential games characterized by linear It?¡¯s differential equation with state-dependent noise and Markovian parameter jumps. Under the assumption of stochastic stabilizability, necessary and sufficient condition for the existence of the optimal control strategies is presented by means of a system of coupled algebraic Riccati equations via using the stochastic optimal control theory. Furthermore, the stochastic H<sub>¡Þ</sub> control problem for stochastic systems with Markovian jumps is discussed as an immediate application, and meanwhile, an illustrative example is presented.
%K Stochastic Systems
%K Differential Games
%K Markovian Jumps
%K Stochastic H&lt
%K sub&gt
%K ¡Þ&lt
%K /sub&gt
%K Control
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=24106