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In this paper, we study two-person zero-sum stochastic games for controlled continuous time Markov decision processes with risk-sensitive discounted cost criterion. The transition and cost rates are possibly unbounded. For… Click to show full abstract
In this paper, we study two-person zero-sum stochastic games for controlled continuous time Markov decision processes with risk-sensitive discounted cost criterion. The transition and cost rates are possibly unbounded. For the zero-sum stochastic game, we prove the existence of the value of the game and saddle-point equilibrium in the class of history dependent strategies under a Foster–Lyapunov condition. We achieve our results by studying the corresponding Hamilton–Jacobi–Isaacs equation.
Keywords:
markov decision;
zero sum;
continuous time;
sum;
cost;
decision processes
Journal Title: Dynamic Games and Applications
Year Published: 2021
Link to full text (if available)
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Journal Title: Dynamic Games and Applications
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!