Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
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Publication:5854407
DOI10.1051/cocv/2020029zbMath1459.91010OpenAlexW3025136574MaRDI QIDQ5854407
Mrinal K. Ghosh, Somnath Pradhan
Publication date: 17 March 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2020029
Hamilton-Jacobi-Isaacs equationreflected diffusion processesrisk-sensitive criterionsaddle point equlibria
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A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Zero and non-zero sum risk-sensitive Semi-Markov games
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