Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

dc.contributor.author	Ghosh, Mrinal K.	en_US
dc.contributor.author	PRADHAN, SOMNATH	en_US
dc.date.accessioned	2020-12-04T11:39:55Z
dc.date.available	2020-12-04T11:39:55Z
dc.date.issued	2021	en_US
dc.identifier.citation	Stochastic Analysis and Applications, 39(2), 819-841.	en_US
dc.identifier.issn	0736-2994	en_US
dc.identifier.issn	1532-9356	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/5395
dc.identifier.uri	https://doi.org/10.1080/07362994.2020.1845207	en_US
dc.description.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	en_US
dc.language.iso	en	en_US
dc.publisher	Taylor & Francis	en_US
dc.subject	Reflected diffusion processes	en_US
dc.subject	Risk sensitive criteria	en_US
dc.subject	Stochastic differential games	en_US
dc.subject	Hamilton–Jacobi–Bellman equations	en_US
dc.subject	Nash/saddle point equilibria	en_US
dc.subject	2021	en_US
dc.subject	2020-DEC-WEEK1	en_US
dc.subject	TOC-DEC-2020	en_US
dc.title	Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain	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