Nonzero-sum risk-sensitive stochastic differential games with discounted costs
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DOI: 10.1080/07362994.2020.1796707
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.… read more here.
Keywords: sum risk; risk sensitive; nonzero sum; stochastic differential ... See more keywords