Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors

DOI10.1016/j.jmaa.2022.126803zbMath1505.91053OpenAlexW4307210891MaRDI QIDQ2102090

Jian Chen, Xin Guo, Zechao Li

Publication date: 28 November 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126803

zbMATH Keywords

Nash equilibriumiteration algorithmstochastic gamestate-dependent discount factorShapley equationunbounded payoff

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Stochastic games, stochastic differential games (91A15)

Cites Work

• Unnamed Item
• Unnamed Item
• Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models
• Zero-sum risk-sensitive stochastic games
• Risk-sensitive average equilibria for discrete-time stochastic games
• Zero-sum games for continuous-time Markov jump processes with risk-sensitive finite-horizon cost criterion
• Zero-sum risk-sensitive stochastic games on a countable state space
• Zero-sum risk-sensitive stochastic games for continuous time Markov chains
• Measurable Selection Theorems for Minimax Stochastic Optimization Problems
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion
• Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space

This page was built for publication: Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors