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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/4939| Title: | Nonzero-sum risk-sensitive stochastic differential games with discounted costs |
| Authors: | Ghosh, Mrinal K. Kumar, K. Suresh Pal, Chandan PRADHAN, SOMNATH Dept. of Mathematics |
| Keywords: | Risk-sensitive criterion Controlled diffusions Coupled HJB equations Nash equilibrium Eventually stationary strategy TOC-AUG-2020 2021 2020-AUG-WEEK1 |
| Issue Date: | 2021 |
| Publisher: | Taylor & Francis |
| Citation: | Stochastic Analysis and Applications, 39(2), 306-326. |
| 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. |
| URI: | http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/4939 https://doi.org/10.1080/07362994.2020.1796707 |
| ISSN: | 1532-9356 0736-2994 |
| Appears in Collections: | JOURNAL ARTICLES |
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