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Abstract We study nonzero-sum stochastic differential games with risk-sensitive discounted cost criteria. Under fairly general conditions on drift term and diffusion coefficients, we establish a Nash equilibrium in Markov strategies… Click to show full abstract
Abstract We study nonzero-sum stochastic differential games with risk-sensitive discounted cost criteria. Under fairly general conditions on drift term and diffusion coefficients, we establish a Nash equilibrium in Markov strategies for the discounted cost criterion. We achieve our results by studying relevant systems of coupled HJB equations.
Keywords:
sum risk;
risk sensitive;
nonzero sum;
stochastic differential;
sensitive stochastic;
differential games
Journal Title: Stochastic Analysis and Applications
Year Published: 2020
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Journal Title: Stochastic Analysis and Applications
Year Published: 2020
Link to full text (if available)
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recommendations!