Zero-sum stochastic differential games with risk-sensitive cost
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Abstract: Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton-Jacobi-Isaacs equation.
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Cites work
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- scientific article; zbMATH DE number 48691 (Why is no real title available?)
- scientific article; zbMATH DE number 1355270 (Why is no real title available?)
- scientific article; zbMATH DE number 3895476 (Why is no real title available?)
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Cited in
(27)- Risk-sensitive stochastic differential games with reflecting diffusions
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Risk-sensitive ergodic control of reflected diffusion processes in orthant
- Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Risk-sensitive control for a class of diffusions with jumps
- Nonzero-sum risk-sensitive stochastic differential games with discounted costs
- Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients
- A nonzero-sum risk-sensitive stochastic differential game in the orthant
- A Stochastic Differential Game with Safe and Risky Choices
- On Bellman systems without zero order term in the context of risk sensitive differential games
- Zero-sum games for continuous-time Markov jump processes with risk-sensitive finite-horizon cost criterion
- Zero-sum risk-sensitive stochastic games
- Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Risk-Sensitive Zero-Sum Differential Games
- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Zero and non-zero sum risk-sensitive Semi-Markov games
- Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria
- Zero-sum risk-sensitive stochastic games on a countable state space
- Zero-sum semi-Markov games with a probability criterion
- Zero-sum risk-sensitive stochastic differential games
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- Partially observed risk-sensitive stochastic control problems with non-convexity restriction
- Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
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