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arXiv · 1604.01142

Nonzero-sum risk-sensitive stochastic differential games

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

We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in Markov strategies for the discounted cost criterion and a Nash equilibrium in stationary strategies for the ergodic cost criterion. We achieve our results by studying the relevant systems of coupled HJB equations.

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Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal. 2016-04-05. Nonzero-sum risk-sensitive stochastic differential games. https://arxiv.org/abs/1604.01142

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