Further aesults on decomposition for stochastic dynamic systems

Abstract

In this paper we will be applying some of the methods of decomposition as proposed in [9] but we will concentrate on one particularly interesting case of a stochastic dynamic system, e.g. that of a linear-quadratic Gaussian dynamic team. In fact, this is a more complicated analogue of the familiar linear system with a quadratic criterion. De- mic team is not yet known - mainly because of a counterexample by Witsenhausen, who showed in this ease that the optimal decision ride need not be linear.