Nonzero-sum risk-sensitive stochastic games on a countable state space
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Publication:5219552
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.
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Cited in
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- Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
- Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
- Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
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- Zero and non-zero sum risk-sensitive Semi-Markov games
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- Discrete-time stopping games with risk-sensitive discounted cost criterion
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
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