Zero-sum risk-sensitive stochastic differential games
Document Type
Article
Publication Title
Mathematics of Operations Research
Abstract
We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton-Jacobi-Isaacs equations. Finally, we show that the value of the ergodic payoff criterion is a constant multiple of the maximal eigenvalue of the generators of the associated nonlinear semigroups.
Publication Date
1-4-2012
Publisher
Informs (Institute for Operations Research and The Management Sciences)
Volume
Vol.37
Issue
Iss.3
Recommended Citation
Basu, Arnab and Ghosh, Mrinal K, "Zero-sum risk-sensitive stochastic differential games" (2012). Faculty Publications. 1616.
https://research.iimb.ac.in/fac_pubs/1616
