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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6400| Title: | A nonzero-sum risk-sensitive stochastic differential game in the orthant |
| Authors: | Ghosh, Mrinal K. PRADHAN, SOMNATH Dept. of Mathematics |
| Keywords: | Reflected diffusion processes Risk-sensitive criteria Stochastic differential games Nash equilibria Principal eigenvalue 2021-NOV-WEEK4 2022 |
| Issue Date: | Jun-2022 |
| Publisher: | American Institute of Mathematical Sciences |
| Citation: | Mathematical Control and Related Fields, 12(2), 343-370. |
| Abstract: | We study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted cost and ergodic cost. Under certain assumptions, we establish the existence of Nash equilibria. Also, we completely characterize a Nash equilibrium for the ergodic cost criterion in the space of stationary Markov strategies. |
| URI: | https://doi.org/10.3934/mcrf.2021025 http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6400 |
| ISSN: | 2156-8472 2156-8499 |
| Appears in Collections: | JOURNAL ARTICLES |
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