Zero-Sum Risk-Sensitive Stochastic Differential Games

DOI10.1287/moor.1120.0542zbMath1297.91029OpenAlexW2147055767MaRDI QIDQ2925338

Mrinal K. Ghosh, Arnab K. Basu

Publication date: 21 October 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1120.0542

zbMATH Keywords

stochastic differential gamesHamilton-Jacobi-Isaacs equationsrisk-sensitive payoff

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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