A Game—Theoretic Model for a Stochastic Linear Quadratic Tracking Problem

In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by of Itô differential equations subject to jump Markov perturbations. We consider the case when there are two decision-makers and each them wants minimize deviation preferential output from given reference signal. assume that do not cooperate. Under these conditions, state considered problem as finding Nash equilibrium strategy for game. Explicit formulae provided. To end, use solutions terminal value problems (TVPs). first TVP associated with hybrid formed backward nonlinear coupled algebraic equations. second