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math.OC2016
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…
math.OC2016
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…
math.OC2016
Zero-sum Risk-sensitive Stochastic Games for Continuous Time Markov Chains
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal
We study infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled continuous time Markov chains on a countable state space. For the…