Zero-sum stochastic differential game with risk-sensitive cost

Anup Biswas; Subhamay Saha

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arXiv · 1704.02689

Zero-sum stochastic differential game with risk-sensitive cost

Anup Biswas·Subhamay Saha

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Abstract

Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton-Jacobi-Isaacs equation.

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Anup Biswas, Subhamay Saha. 2017-04-10. Zero-sum stochastic differential game with risk-sensitive cost. https://arxiv.org/abs/1704.02689

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