Nonzero-sum risk-sensitive stochastic differential games with discounted costs

Ghosh, MK and Suresh Kumar, K and Pal, C and Pradhan, S (2020) Nonzero-sum risk-sensitive stochastic differential games with discounted costs. In: Stochastic Analysis and Applications, 39 (2). pp. 306-326.

PDF sto_ana_app_39-2_306-326_2020.pdf - Published Version Restricted to Registered users only Download (437kB) | Request a copy

Abstract

We study nonzero-sum stochastic differential games with risk-sensitive discounted cost criteria. Under fairly general conditions on drift term and diffusion coefficients, we establish a Nash equilibrium in Markov strategies for the discounted cost criterion. We achieve our results by studying relevant systems of coupled HJB equations. © 2020 Taylor & Francis Group, LLC.

Item Type:	Journal Article
Publication:	Stochastic Analysis and Applications
Publisher:	Bellwether Publishing, Ltd.
Additional Information:	The copyright for this article belongs to Bellwether Publishing, Ltd.
Keywords:	controlled diffusions; coupled HJB equations; eventually stationary strategy; Nash equilibrium; Risk-sensitive criterion
Department/Centre:	Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	07 Feb 2023 11:17
Last Modified:	07 Feb 2023 11:17
URI:	https://eprints.iisc.ac.in/id/eprint/80031

Actions (login required)

View Item