Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
DOI10.1016/j.sysconle.2022.105443zbMath1519.91028arXiv2206.12067MaRDI QIDQ6099691
Chandan Pal, Somnath Pradhan, Mrinal K. Ghosh, K. Suresh Kumar
Publication date: 20 June 2023
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.12067
Nash equilibriumHamilton-Jacobi-Bellman equationsprincipal eigenvaluerisk-sensitive cost criterionparametric family of Markov generators
Eigenvalue problems (93B60) Stochastic games, stochastic differential games (91A15) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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