Work

Nonzero-sum risk-sensitive stochastic differential games

Year: 2016

Type: preprint

Abstract: 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 Markov strategies for the discounted cost criterion and a Nash equilibrium in stationary strategies for the ergodic cost criterion. We achieve our results by studying the relevant systems of coupled HJB equations.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1604.01142

Authors: Ghosh, Mrinal K., Kumar, K. Suresh, Pal, Chandan

Institutions: Indian Institute of Science Bangalore, Indian Institute of Technology Bombay

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Department of Science and Technology, Ministry of Science and Technology, India

Award: G3349725324

OpenAlex ID: W2952425247

Cites: 13

Cited by: 2

Related to: 20