Zero-sum stochastic differential games with risk-sensitive cost
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Publication:2301679
DOI10.1007/S00245-018-9479-8zbMATH Open1480.91027arXiv1704.02689OpenAlexW2963753068MaRDI QIDQ2301679FDOQ2301679
Authors: Anup Biswas, Subhamay Saha 
Publication date: 25 February 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1704.02689
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