Author

Balint Varga

Institute of Control Systems, Karlsruhe Institute of Technology

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Preprint Aug 2026

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

This paper presents a novel sequential policy iteration (PI) method for stochastic differential games with state- and control-dependent noise. The updates preserve mean-square stability, so that the iteration is well posed. We further derive a closed-form expression for the Fr\'echet derivative of the sequential PI map...

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