Nonzero-sum risk-sensitive stochastic games on a countable state space
From MaRDI portal
Publication:5219552
DOI10.1287/MOOR.2017.0870zbMATH Open1443.91034arXiv1603.03683OpenAlexW2766372643MaRDI QIDQ5219552FDOQ5219552
Authors: Arnab Basu, Mrinal K. Ghosh 
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium strategies in the class of Markov strategies under fairly general conditions. Under an additional geometric ergodicity condition and a small cost criterion, the existence of Nash equilibrium strategies in the class of stationary Markov strategies is proved for the ergodic-cost game.
Full work available at URL: https://arxiv.org/abs/1603.03683
Recommendations
- Zero-sum risk-sensitive stochastic games on a countable state space
- Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
- Zero-sum risk-sensitive stochastic games for continuous time Markov chains
- Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
- Nonzero-sum risk-sensitive stochastic differential games with discounted costs
Nash equilibriageometric ergodicityBellman equationsnoncooperative stochastic gamesrisk-sensitive payoff
Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15) Discrete-time games (91A50)
Cites Work
- Markov Chains and Stochastic Stability
- Title not available (Why is that?)
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Infinite dimensional analysis. A hitchhiker's guide.
- Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces
- Strengthening ergodicity to geometric ergodicity for markov chains
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Risk sensitive control of Markov processes in countable state space
- Title not available (Why is that?)
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
- Discounted linear exponential quadratic Gaussian control
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Title not available (Why is that?)
- Risk-Sensitive Control on an Infinite Time Horizon
- Infinite horizon risk sensitive control of discrete time Markov processes with small risk
- Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
- Average optimality for risk-sensitive control with general state space
- More Risk-Sensitive Markov Decision Processes
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Risk-Sensitive Markov Decision Processes
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Title not available (Why is that?)
- Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
- Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
- Nash equilibria of risk-sensitive nonlinear stochastic differential games
- Recurrence Conditions for Average and Blackwell Optimality in Denumerable State Markov Decision Chains
- On the Relation Between Recurrence and Ergodicity Properties in Denumerable Markov Decision Chains
- Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
- Risk-sensitive linear/quadratic/gaussian control
- On ergodicity and recurrence properties of a Markov chain by an application to an open jackson network
- Title not available (Why is that?)
- Multiplicative Markov Decision Chains
- Discounted approximations for risk-sensitive average criteria in Markov decision chains with finite state space
- Risk-sensitive control with HARA utility
- Contraction Conditions for Average and α-Discount Optimality in Countable State Markov Games with Unbounded Rewards
- Zero-sum risk-sensitive stochastic games on a countable state space
- Nash equilibria in risk-sensitive dynamic games
- Zero-sum risk-sensitive stochastic differential games
- Multiplicative ergodicity and large deviations for an irreducible Markov chain.
- The vanishing discount approach in Markov chains with risk-sensitive criteria
- Title not available (Why is that?)
Cited In (18)
- Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors
- Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
- Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes
- Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
- Nonzero-sum semi-Markov games with countable state spaces
- Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
- Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
- Risk-sensitive average equilibria for discrete-time stochastic games
- Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
- Risk-sensitive first passage stochastic games with unbounded costs
- Discrete-time stopping games with risk-sensitive discounted cost criterion
- Zero and non-zero sum risk-sensitive Semi-Markov games
- Zero-sum risk-sensitive stochastic games on a countable state space
- Zero-sum semi-Markov games with a probability criterion
- Positive zero-sum stochastic games with countable state and action spaces
- Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
- Markov perfect equilibria in OLG models with risk sensitive agents
This page was built for publication: Nonzero-sum risk-sensitive stochastic games on a countable state space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219552)
