Risk-sensitive stochastic differential games with reflecting diffusions

DOI10.1080/07362994.2017.1356732MaRDI QIDQ4607787zbMATH OpenOpenAlexFDO

Authors Mrinal K. Ghosh, Somnath Pradhan

Publication date 14 March 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2017.1356732

zbMATH Keywords

stochastic differential gamesHamilton-Jacobi-Isaacs equationsreflected diffusion processesNash/saddle point equilibriarisk sensitive criteria

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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Cites work

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• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces
• Functions of Relaxed Controls
• Nonzero-sum risk-sensitive stochastic differential games with discounted costs
• Nonzero-sum stochastic differential games with reflecting diffusions
• Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
• Remarks on risk-sensitive control problems
• Stochastic differential equations with reflecting boundary conditions
• Stochastic differential games: Occupation measure based approach
• Zero-sum risk-sensitive stochastic differential games
• Zero-sum stochastic differential games with reflecting diffusions

Cited in

(10)

• Risk-sensitive ergodic control of reflected diffusion processes in orthant
• A nonzero-sum risk-sensitive stochastic differential game in the orthant
• On Bellman systems without zero order term in the context of risk sensitive differential games
• Risk sensitive stochastic control and differential 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
• Risk-sensitive mean field games via the stochastic maximum principle
• Risk-Sensitive Zero-Sum Differential Games
• Risk-sensitive zero-sum stochastic differential game for jump-diffusions
• Doob decomposition, Dirichlet processes, and entropies on Wiener space

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