Risk-sensitive stochastic differential games with reflecting diffusions

DOI10.1080/07362994.2017.1356732zbMath1407.91037OpenAlexW2760560391MaRDI QIDQ4607787

Mrinal K. Ghosh, Somnath Pradhan

Publication date: 14 March 2018

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

Full work available at URL: https://doi.org/10.1080/07362994.2017.1356732

zbMATH Keywords

stochastic differential gamesHamilton-Jacobi-Isaacs equationsreflected diffusion processesNash/saddle point equilibriarisk sensitive criteria

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (6)

A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Doob decomposition, Dirichlet processes, and entropies on Wiener space ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

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