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arXiv · 2408.12849

Nonzero-sum Discrete-time Stochastic Games with Risk-sensitive Ergodic Cost Criterion

Bivakar Bose·Chandan Pal·Somnath Pradhan·Subhamay Saha
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Abstract

In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated ergodic optimality equations admit unique solutions. Finally, the existence of Nash-equilibrium in randomized stationary strategies is established by showing that an appropriate set-valued map has a fixed point.

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Bivakar Bose, Chandan Pal, Somnath Pradhan, Subhamay Saha. 2024-08-23. Nonzero-sum Discrete-time Stochastic Games with Risk-sensitive Ergodic Cost Criterion. https://arxiv.org/abs/2408.12849

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