Author

Lucas Günther

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Preprint Aug 2026

Infinite-Horizon Inverse Linear-Quadratic Differential Games with State- and Control-Dependent Noise

This paper presents a method to solve the inverse problem for N-player infinite-horizon linear-quadratic (LQ) differential games with state- and control-dependent noise. For this stochastic setting, we derive necessary and sufficient conditions for linear feedback Nash equilibria, which take the form of coupled stochas...

Lucas Günther, Karl Handwerker, Felix Thömmes et al. · 1 citation

Preprint Aug 2026

Policy Iteration for Linear-Quadratic Stochastic Differential Games with State- and Control-Dependent Noise

The resulting characterization reveals how control-dependent noise, policy-evaluation sensitivity, and update ordering govern local error propagation, and yields explicit sufficient conditions for local linear convergence.

Karl Handwerker, Felix Thömmes, Lucas Günther et al. · 1 citation