Zero-sum risk-sensitive stochastic games for continuous time Markov chains

DOI10.1080/07362994.2016.1180995zbMath1346.93397arXiv1603.02400OpenAlexW2962992503MaRDI QIDQ2821906

Chandan Pal, Mrinal K. Ghosh, K. Suresh Kumar

Publication date: 26 September 2016

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

Full work available at URL: https://arxiv.org/abs/1603.02400

zbMATH Keywords

valuesaddle point equilibriumrisk-sensitive costHJI equationinfinite horizon discounted costinfinite horizon ergodic cost

Mathematics Subject Classification ID

Related Items (14)

Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Zero-sum games for continuous-time Markov jump processes with risk-sensitive finite-horizon cost criterion ⋮ Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side ⋮ Zero-sum stochastic games with the average-value-at-risk criterion ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games ⋮ Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria ⋮ Nonzero-sum stochastic games with probability criteria ⋮ Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion ⋮ Zero and non-zero sum risk-sensitive Semi-Markov games

Cites Work

• Zero-sum risk-sensitive stochastic games on a countable state space
• Risk-sensitive control of pure jump process on countable space with near monotone cost
• Zero-Sum Risk-Sensitive Stochastic Differential Games
• Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces

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