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Quadratic Gaussian Team

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Definition
StochasticControl

Definition

Let {J;Γi,iN}\{ J;\Gamma^{i},i\in\mathcal{N} \} be a standard quadratic team. If ξ\xi is a Gaussian random vector and ri(ξ)=Qiξr_{i}(\xi)=Q_{i}\xi, ηi(ξ)=Hiξ\eta^{i}(\xi)=H^{i}\xi, iNi\in\mathcal{N}, for some deterministic matrices Qi,Hi,iNQ_{i},H^{i},i\in\mathcal{N}, the decision problem is a quadratic-Gaussian team.