Abstract
AbstractIn this study, a partially observed linear quadratic (LQ) non‐cooperative stochastic differential game of Markov jump linear system (MJLS) is considered. First, a new proof of filtering theory is given, using the separation principle and filtering technology, partial observations can be transformed into complete observation. Second, nonzero‐sum stochastic differential game problem for MJLS are studied using the dynamic programming principle and completion square method. Then, the sufficient and necessary conditions for the Nash equilibrium are obtained. Finally, a numerical simulation is performed.
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