A nonzero-sum risk-sensitive stochastic differential game in the orthant

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dc.contributor.authorGhosh, Mrinal K.en_US
dc.contributor.authorPRADHAN, SOMNATHen_US
dc.contributor.departmentDept. of Mathematicsen_US
dc.date.accessioned2021-11-29T10:52:03Z
dc.date.available2021-11-29T10:52:03Z
dc.date.issued2022-06en_US
dc.description.abstractWe study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted cost and ergodic cost. Under certain assumptions, we establish the existence of Nash equilibria. Also, we completely characterize a Nash equilibrium for the ergodic cost criterion in the space of stationary Markov strategies.en_US
dc.identifier.citationMathematical Control and Related Fields, 12(2), 343-370.en_US
dc.identifier.issn2156-8472en_US
dc.identifier.issn2156-8499en_US
dc.identifier.sourcetitleMathematical Control and Related Fieldsen_US
dc.identifier.urihttps://doi.org/10.3934/mcrf.2021025
dc.identifier.urihttp://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6400
dc.language.isoenen_US
dc.publication.originofpublisherForeignen_US
dc.publisherAmerican Institute of Mathematical Sciencesen_US
dc.subjectReflected diffusion processesen_US
dc.subjectRisk-sensitive criteriaen_US
dc.subjectStochastic differential gamesen_US
dc.subjectNash equilibriaen_US
dc.subjectPrincipal eigenvalueen_US
dc.subject2021-NOV-WEEK4en_US
dc.subject2022en_US
dc.titleA nonzero-sum risk-sensitive stochastic differential game in the orthanten_US
dc.typeArticleen_US

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