Zero-sum stochastic differential game with risk-sensitive cost
Optimization and Control
2018-01-04 v2 Probability
Abstract
Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton-Jacobi-Isaacs equation.
Keywords
Cite
@article{arxiv.1704.02689,
title = {Zero-sum stochastic differential game with risk-sensitive cost},
author = {Anup Biswas and Subhamay Saha},
journal= {arXiv preprint arXiv:1704.02689},
year = {2018}
}