In 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.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.