Ghosh, MK and Pradhan, S (2020) Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant. In: ESAIM - Control, Optimisation and Calculus of Variations, 26 .
Full text not available from this repository.Abstract
We study zero-sum games with risk-sensitive cost criterion on the infinite horizon where the state is a controlled reflecting diffusion in the nonnegative orthant. We consider two cost evaluation criteria: discounted cost and ergodic cost. Under certain assumptions, we establish the existence of saddle point equilibria. We obtain our results by studying the corresponding Hamilton-Jacobi-Isaacs equations. For the ergodic cost criterion, exploiting the stochastic representation of the principal eigenfunction, we have completely characterized saddle point equilibrium in the space of stationary Markov strategies. © EDP Sciences, SMAI 2020.
| Item Type: | Journal Article |
|---|---|
| Publication: | ESAIM - Control, Optimisation and Calculus of Variations |
| Publisher: | EDP Sciences |
| Additional Information: | Copyright to this article belongs to EDP Sciences |
| Keywords: | Eigenvalues and eigenfunctions; Game theory, Cost evaluations; Hamilton-Jacobi-Isaacs equations; Infinite horizons; Nonnegative orthant; Risk sensitive cost criteria; Saddle-point equilibriums; Stochastic differential game; Stochastic representations, Stochastic systems |
| Department/Centre: | Division of Physical & Mathematical Sciences > Mathematics |
| Date Deposited: | 12 Jan 2021 06:44 |
| Last Modified: | 12 Jan 2021 06:44 |
| URI: | http://eprints.iisc.ac.in/id/eprint/67545 |
Actions (login required)
 |
View Item |
