On the Closed Loop Nash Equilibrium Strategy for a Class of Sampled Data Stochastic Linear Quadratic Differential Games

Abstract The problem of the existence of a Nash equilibrium strategy in a state feedback form is discussed for a class of stochastic linear quadratic two players differential games. It is assumed that only measurements at discrete-time instances of the state parameters are available. Both piecewise continuous admissible strategies as well as piecewise constant admissible strategies are considered.