The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion

DOI10.1137/18M1165104zbMath1419.91064OpenAlexW2909516749WikidataQ128592243 ScholiaQ128592243MaRDI QIDQ4611400

Daniel Hernández-Hernández, Rolando Cavazos-Cadena

Publication date: 18 January 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1165104

zbMATH Keywords

zero-sum gameequality of the upper and lower value functionssimultaneous Doeblin conditioncommunicating transition lawdiscounted approximationsexponential disutility function

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15)

Related Items

Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior ⋮ Risk-sensitive first passage stochastic games with unbounded costs ⋮ Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs ⋮ Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors ⋮ Zero and non-zero sum risk-sensitive Semi-Markov games

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