Zero-sum stochastic differential games with risk-sensitive cost (Q2301679): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Zero-sum stochastic differential games with risk-sensitive cost	scientific article

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scholarly article

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Zero-sum stochastic differential games with risk-sensitive cost (English)

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Applied Mathematics and Optimization

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publication date

25 February 2020

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full work available at URL

https://arxiv.org/abs/1704.02689

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zbMATH Keywords

stochastic differential games

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risk-sensitive payoff

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Hamilton-Jacobi-Isaacs equations

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saddle point strategy

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verification result

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MaRDI profile type

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Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions

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Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control

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Ergodic Control of Diffusion Processes

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Principal eigenvalues and an anti-maximum principle for homogeneous fully nonlinear elliptic equations

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Nash equilibria of risk-sensitive nonlinear stochastic differential games

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On unbounded solutions of ergodic problems in ℝ<sup><i>m</i></sup>for viscous Hamilton–Jacobi equations

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Zero-Sum Risk-Sensitive Stochastic Differential Games

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Generalizations and Properties of the Principal Eigenvalue of Elliptic Operators in Unbounded Domains

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An eigenvalue approach to the risk sensitive control problem in near monotone case

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Risk sensitive control of diffusions with small running cost

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Risk-sensitive control with near monotone cost

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ON REGULARITY OF TRANSITION PROBABILITIES AND INVARIANT MEASURES OF SINGULAR DIFFUSIONS UNDER MINIMAL CONDITIONS

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A topology for Markov controls

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Stochastic differential games: Occupation measure based approach

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Interior a priori estimates for solutions of fully nonlinear equations

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On the Solvability of Some Ergodic Control Problems in $\mathbb{R}^d$

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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Minimax Theorems

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Risk-Sensitive Control on an Infinite Time Horizon

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Nonzero-sum risk-sensitive stochastic differential games with discounted costs

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Existence of strong solutions for Itô's stochastic equations via approximations

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Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control

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Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

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Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback

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Bellman Equations of Risk-Sensitive Control

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Principal eigenvalues and the Dirichlet problem for fully nonlinear elliptic operators

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00245-018-9479-8

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Sitelinks

Mathematics(1 entry)

mardi Publication:2301679

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