Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost

被引：0

作者：

Anup Biswas

Subhamay Saha

机构：

[1] Indian Institute of Science Education and Research,Department of Mathematics

[2] Indian Institute of Technology,Department of Mathematics

来源：

Applied Mathematics & Optimization | 2020年 / 81卷

关键词：

Stochastic differential games; Risk-sensitive payoff; Hamilton–Jacobi–Isaacs equations; Saddle point strategy; Verification result; Primary: 91A15; Secondary: 91A23; 49N70;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Zero-sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics, we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton–Jacobi–Isaacs equation.

引用

页码：113 / 140

页数：27

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