Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost

dc.contributor.author	BISWAS, ANUP	en_US
dc.contributor.author	Saha, Subhamay	en_US
dc.date.accessioned	2020-02-26T06:33:36Z
dc.date.available	2020-02-26T06:33:36Z
dc.date.issued	2020-02	en_US
dc.identifier.citation	Applied Mathematics and Optimization, 81(1), 113-140.	en_US
dc.identifier.issn	0095-4616	en_US
dc.identifier.issn	1432-0606	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/4445
dc.identifier.uri	https://doi.org/10.1007/s00245-018-9479-8	en_US
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Springer Nature	en_US
dc.subject	Stochastic differential games	en_US
dc.subject	Risk-sensitive payoff	en_US
dc.subject	Hamilton-Jacobi-Isaacs equations	en_US
dc.subject	Saddle point strategy	en_US
dc.subject	Verification result	en_US
dc.subject	TOC-FEB-2020	en_US
dc.subject	2020	en_US
dc.title	Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	Applied Mathematics and Optimization	en_US
dc.publication.originofpublisher	Foreign	en_US