Risk-sensitive stochastic differential games with reflecting diffusions
DOI10.1080/07362994.2017.1356732zbMATH Open1407.91037OpenAlexW2760560391MaRDI QIDQ4607787FDOQ4607787
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
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stochastic differential gamesHamilton-Jacobi-Isaacs equationsreflected diffusion processesNash/saddle point equilibriarisk sensitive criteria
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)
Cites Work
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- Title not available (Why is that?)
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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