Solving Coupled Algebraic Riccati Equations from Closed-Loop Nash Strategy in Discrete Time, by Lack of Trust Approach

The introduction of Lack of Trust's notion in Game Theory allows to put together the Discrete-Time Nash strategies for an open-loop information structure and for a closed-loop one. This link is exploited in this paper in order to develop an iterative algorithm based on the resolution of a non-symmetric Riccati equation at each step, for solving the coupled algebraic Riccati equations from closed-loop Nash strategy. An example illustrates the application of the algorithm.