Zero-sum stochastic differential games with risk-sensitive cost
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Publication:2301679
DOI10.1007/s00245-018-9479-8zbMath1480.91027arXiv1704.02689OpenAlexW2963753068MaRDI QIDQ2301679
Publication date: 25 February 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.02689
stochastic differential gamesHamilton-Jacobi-Isaacs equationsrisk-sensitive payoffsaddle point strategyverification result
Related Items (14)
A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$ ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Nonzero-sum risk-sensitive stochastic differential games with discounted costs ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$ ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Zero and non-zero sum risk-sensitive Semi-Markov games
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