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Risk-sensitive stochastic differential games with reflecting diffusions |
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| Authors: | Mrinal K Ghosh |
| Institution: | Dept. of Mathematics, Indian Institute of Science, Bangalore, India |
| Abstract: | We study risk-sensitive differential games for controlled reflecting diffusion processes in a bounded domain. We consider both nonzero-sum and zero-sum cases. We treat two cost evaluation criteria; namely, discounted cost and ergodic cost. Under certain assumptions we establish the existence of Nash/saddle-point equilibria for relevant cases. |
| Keywords: | Reflected diffusion processes risk sensitive criteria stochastic differential games Hamilton-Jacobi-Isaacs equations Nash/saddle point equilibria |