Equilibrium in Linear Quadratic Stochastic Games with Unknown Parameters

In this paper we present a linear quadratic stochastic game in which some parameters as well as some game states cannot be determined by any of the players. Such a problem is not solvable using standard approach. Therefore, we develop strategies based on a technique that allows each player to simultaneously estimate both unknown states and parameters. The separation principle, which holds for this problem, is then applied to synthesize strategies that ensure the feedback Nash equilibrium. Stochastic differential games, estimations, Nash equilibirum.