Risk-sensitive stochastic differential games with reflecting diffusions

被引：5
|
作者：
Ghosh, Mrinal K. [1 ]
Pradhan, Somnath [1 ]
机构：
[1] Indian Inst Sci, Dept Math, Bangalore 560012, Karnataka, India
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2018年 / 36卷 / 01期
关键词：
Reflected diffusion processes; risk sensitive criteria; stochastic differential games; Hamilton-Jacobi-Isaacs equations; Nash/saddle point equilibria;
D O I：
10.1080/07362994.2017.1356732
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study risk-sensitive differential games for controlled reflecting diffusion processes in a bounded domain. We consider both nonzero-sum and zero-sum cases. We treat two cost evaluation criteria; namely, discounted cost and ergodic cost. Under certain assumptions we establish the existence of Nash/saddle-point equilibria for relevant cases.
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页码：1 / 27
页数：27
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