7 papers · 1 filter
Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We study zero-sum stochastic games for controlled discrete time Markov chains with risk-sensitive average cost criterion with countable state space and Borel action spaces. The pay…
Zero-Sum Games for Continuous-time Markov Decision Processes with Risk-Sensitive Average Cost Criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded.…
Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space
Chandan Pal, Subrata Golui
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underly…
Continuous-time Zero-Sum Stochastic Game with Stopping and Control
Chandan Pal, Subhamay Saha
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is…
Nonzero-sum risk-sensitive stochastic differential games
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal
We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in…
Nonzero-Sum Risk Sensitive Stochastic Games for Continuous Time Markov Chains
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal
We study nonzero-sum stochastic games for continuous time Markov chains on a denumerable state space with risk sensitive discounted and ergodic cost criteria. For the discounted co…