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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/5395| Title: | Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain |
| Authors: | Ghosh, Mrinal K. PRADHAN, SOMNATH Dept. of Mathematics |
| Keywords: | Reflected diffusion processes Risk sensitive criteria Stochastic differential games Hamilton–Jacobi–Bellman equations Nash/saddle point equilibria 2021 2020-DEC-WEEK1 TOC-DEC-2020 |
| Issue Date: | 2021 |
| Publisher: | Taylor & Francis |
| Citation: | Stochastic Analysis and Applications, 39(2), 819-841. |
| Abstract: | In this article, we study risk-sensitive stochastic differential games for controlled reflecting diffusion processes in a smooth bounded domain. We analyze the ergodic cost evaluation criterion for both nonzero-sum games and zero-sum games. Using principal eigenvalue approach, we establish the existence of Nash/saddle-point equilibria for relevant cases |
| URI: | http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/5395 https://doi.org/10.1080/07362994.2020.1845207 |
| ISSN: | 0736-2994 1532-9356 |
| Appears in Collections: | JOURNAL ARTICLES |
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