A New Class of Nash Strategies for M-Person Differential Games with Mixed Information Structures

Abstract

This paper is concerned with a class of M-person linear-quadratic nonzero-sum differential games in which a subset of the players have access to closed-loop (CL) information and the rest to open-loop (OL) information. The state equation contains an additive random perturbation term, inclusion of which has been shown to be necessary in order to obtain a unique globally-optimal Nash equilibrium solution. For each player with CL information, the optimal strategy is a linear function of the current and the initial states, and for each player with OL information, the optimal strategy is a linear function of the initial state.