Nonzero-sum risk-sensitive stochastic differential games
Optimization and Control
2016-04-06 v1
Abstract
We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in Markov strategies for the discounted cost criterion and a Nash equilibrium in stationary strategies for the ergodic cost criterion. We achieve our results by studying the relevant systems of coupled HJB equations.
Keywords
Cite
@article{arxiv.1604.01142,
title = {Nonzero-sum risk-sensitive stochastic differential games},
author = {Mrinal K. Ghosh and K. Suresh Kumar and Chandan Pal},
journal= {arXiv preprint arXiv:1604.01142},
year = {2016}
}