Zero-sum risk-sensitive stochastic games for continuous time Markov chains

Ghosh, Mrinal K and Kumar, Suresh K and Pal, Chandan (2016) Zero-sum risk-sensitive stochastic games for continuous time Markov chains. In: STOCHASTIC ANALYSIS AND APPLICATIONS, 34 (5). pp. 835-851.

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Abstract

We study infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled continuous time Markov chains on a countable state space. For the discounted-cost game, we prove the existence of value and saddle-point equilibrium in the class of Markov strategies under nominal conditions. For the ergodic-cost game, we prove the existence of values and saddle point equilibrium by studying the corresponding Hamilton-Jacobi-Isaacs equation under a certain Lyapunov condition.

Item Type:	Journal Article
Publication:	STOCHASTIC ANALYSIS AND APPLICATIONS
Additional Information:	Copy right for this article belongs to the TAYLOR & FRANCIS INC, 530 WALNUT STREET, STE 850, PHILADELPHIA, PA 19106 USA
Department/Centre:	Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	22 Oct 2016 09:38
Last Modified:	22 Oct 2016 09:38
URI:	http://eprints.iisc.ac.in/id/eprint/55059

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