Nash equilibria of risk-sensitive nonlinear stochastic differential games
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Publication:1289390
DOI10.1023/A:1022678204735zbMath0949.91005OpenAlexW1946156631MaRDI QIDQ1289390
Publication date: 28 November 2000
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1022678204735
perturbation methodsnonzero-sum differential gamesrisk-sensitive stochastic controlnonlinear \(H_\infty\)-control
(H^infty)-control (93B36) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)
Related Items (22)
Book review of: L. P. Hansen and T. J. Sargent, Robustness ⋮ Robust mean field games ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Robust risk‐sensitive control ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ Zero-sum risk-sensitive stochastic games on a countable state space ⋮ Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ Risk-sensitive mean field games via the stochastic maximum principle ⋮ Multiobjective stochastic control in fluid dynamics via game theory approach: Application to the periodic Burgers equation ⋮ Zero-sum stochastic differential games with risk-sensitive cost ⋮ Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space ⋮ Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs ⋮ Nonzero-sum risk-sensitive stochastic differential games with discounted costs ⋮ Robust designs through risk sensitivity: an overview ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control ⋮ Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ A Risk-Averse Differential Game Approach to Multi-agent Tracking and Synchronization with Stochastic Objects and Command Generators ⋮ A game-theoretic method for resilient control design in industrial multi-agent CPSs with Markovian and coupled dynamics
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