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Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

Ghosh, MK and Pradhan, S (2020) Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain. In: Stochastic Analysis and Applications, 39 (05). pp. 819-841.

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Official URL: https://doi.org/10.1080/07362994.2020.1845207

Abstract

In this article, we study risk-sensitive stochastic differential games for controlled reflecting diffusion processes in a smooth bounded domain. We analyze the ergodic cost evaluation criterion for both nonzero-sum games and zero-sum games. Using principal eigenvalue approach, we establish the existence of Nash/saddle-point equilibria for relevant cases. © 2020 Taylor & Francis Group, LLC.

Item Type: Journal Article
Publication: Stochastic Analysis and Applications
Publisher: Bellwether Publishing, Ltd.
Additional Information: The copyright of this article belongs to Taylor and Francis Ltd.
Keywords: Reflected diffusion processes, risk sensitive criteria, stochastic differential games, Hamilton–Jacobi–Bellman equations, Nash/saddle point equilibria
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Date Deposited: 22 Dec 2021 10:34
Last Modified: 22 Dec 2021 10:34
URI: http://eprints.iisc.ac.in/id/eprint/67432

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