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

The introduction of Lack of Trust's notion in Game Theory allows to put together the 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 non-symmetric Riccati equation at each step, for solving coupled algebraic Riccati equations from closed-loop Nash strategy. Different known algorithms are presented as comparison on classical examples from the literature