On Decentralized Multicriteria Linear-Quadratic Stochastic Control Problems

Abstract

In the framework of linear stochastic differential systems and quadratic cost functionals, 2-member 2-criteria control problems are discussed and the unique Nash equilibrium solution is derived under some nonclassical information structures, i.e., “stochastic open loop” and “strongly partially nested” information structures, with observation delays. It is shown that this unique solution can be realized by the linear functions of the state estimates. As a special case, the team control problem is elaborated on. These results does not require Gaussian properties of the initial state and the noises.