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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