Nonzero-sum risk-sensitive stochastic differential games with discounted costs

Ghosh, Mrinal K.; Kumar, K. Suresh; Pal, Chandan; PRADHAN, SOMNATH

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dc.contributor.author	Ghosh, Mrinal K.	en_US
dc.contributor.author	Kumar, K. Suresh	en_US
dc.contributor.author	Pal, Chandan	en_US
dc.contributor.author	PRADHAN, SOMNATH	en_US
dc.date.accessioned	2020-08-07T08:43:41Z
dc.date.available	2020-08-07T08:43:41Z
dc.date.issued	2021	en_US
dc.identifier.citation	Stochastic Analysis and Applications, 39(2), 306-326.	en_US
dc.identifier.issn	1532-9356	en_US
dc.identifier.issn	0736-2994	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/4939
dc.identifier.uri	https://doi.org/10.1080/07362994.2020.1796707	en_US
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Taylor & Francis	en_US
dc.subject	Risk-sensitive criterion	en_US
dc.subject	Controlled diffusions	en_US
dc.subject	Coupled HJB equations	en_US
dc.subject	Nash equilibrium	en_US
dc.subject	Eventually stationary strategy	en_US
dc.subject	TOC-AUG-2020	en_US
dc.subject	2021	en_US
dc.subject	2020-AUG-WEEK1	en_US
dc.title	Nonzero-sum risk-sensitive stochastic differential games with discounted costs	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	Stochastic Analysis and Applications	en_US
dc.publication.originofpublisher	Foreign	en_US