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arXiv · 1603.02400

Zero-sum Risk-sensitive Stochastic Games for Continuous Time Markov Chains

Mrinal K. Ghosh·K. Suresh Kumar·Chandan Pal
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Abstract

We study infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled continuous time Markov chains on a countable state space. For the discounted-cost game we prove the existence of value and saddle-point equilibrium in the class of Markov strategies under nominal conditions. For the ergodic-cost game we prove the existence of values and saddle point equilibrium by studying the corresponding Hamilton-Jacobi-Isaacs equation under a certain Lyapunov condition.

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Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal. 2016-03-08. Zero-sum Risk-sensitive Stochastic Games for Continuous Time Markov Chains. https://arxiv.org/abs/1603.02400

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