A nonzero-sum risk-sensitive stochastic differential game in the orthant

Ghosh, Mrinal K.; PRADHAN, SOMNATH

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dc.contributor.author	Ghosh, Mrinal K.	en_US
dc.contributor.author	PRADHAN, SOMNATH	en_US
dc.date.accessioned	2021-11-29T10:52:03Z
dc.date.available	2021-11-29T10:52:03Z
dc.date.issued	2022-06	en_US
dc.identifier.citation	Mathematical Control and Related Fields, 12(2), 343-370.	en_US
dc.identifier.issn	2156-8472	en_US
dc.identifier.issn	2156-8499	en_US
dc.identifier.uri	https://doi.org/10.3934/mcrf.2021025	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6400
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	American Institute of Mathematical Sciences	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	Nash equilibria	en_US
dc.subject	Principal eigenvalue	en_US
dc.subject	2021-NOV-WEEK4	en_US
dc.subject	2022	en_US
dc.title	A nonzero-sum risk-sensitive stochastic differential game in the orthant	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	Mathematical Control and Related Fields	en_US
dc.publication.originofpublisher	Foreign	en_US