Nonzero-sum risk-sensitive stochastic differential games with discounted costs
From MaRDI portal
Publication:4986426
DOI10.1080/07362994.2020.1796707zbMath1461.91030OpenAlexW3045429732MaRDI QIDQ4986426
Chandan Pal, Mrinal K. Ghosh, K. Suresh Kumar, Somnath Pradhan
Publication date: 27 April 2021
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2020.1796707
Nash equilibriumcontrolled diffusionscoupled HJB equationsrisk-sensitive criterioneventually stationary strategy
Stochastic games, stochastic differential games (91A15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (9)
A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Risk-sensitive stochastic differential games with reflecting diffusions ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ Zero-sum stochastic differential games with risk-sensitive cost ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain ⋮ Zero and non-zero sum risk-sensitive Semi-Markov games
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk sensitive control of diffusions with small running cost
- Remarks on risk-sensitive control problems
- On the Banach-Saks property
- Nash equilibria of risk-sensitive nonlinear stochastic differential games
- Some results on risk-sensitive control with full observation
- Risk-sensitive control of stochastic hybrid systems on infinite time horizon
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Errata corrige to: Stochastic differential games: Occupation measure based approach
- Zero-sum stochastic differential games with risk-sensitive cost
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Zero-Sum Risk-Sensitive Stochastic Differential Games
- Ergodic Control of Diffusion Processes
- Optimal Play in a Stochastic Differential Game
- N-Player Stochastic Differential Games
- Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Risk, Return, and Utility
- Risk-Sensitive Control on an Infinite Time Horizon
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
- Functions of Relaxed Controls
- Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces
- Erratum to: Risk-sensitive control with near monotone cost
This page was built for publication: Nonzero-sum risk-sensitive stochastic differential games with discounted costs
