An extension of Radner´s theorem to continuous-time systems

In this paper, a counterpart of the well-known result of Radner on quadratic static teams is obtained for M-member continuous-time LQ static team problems when the statistics of the random variables involved are not necessarily Gaussian. An iterative convergent scheme is developed, which, in the limit, yields the optimal team strategies. For the special case of Gaussian distributions, the team-optimal solution is affine in the static information available to each DM, and for the further special case when the team cost function does not penalize the intermediate values of the state, the optimal stategies can be obtained by solving a Liapunov-type time-invariant matrix equation.