具有风险敏感贴现成本准则的纯跳跃过程的零和博弈

IF 1.1 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Journal of Dynamics and Games Pub Date : 2021-01-01 DOI:10.3934/jdg.2021020

Chandan Pal, Somnath Pradhan

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引用次数: 4

摘要

本文研究了一般状态空间上具有风险敏感折现准则的纯跳跃过程的零和随机对策。建立了有界代价函数马尔可夫策略的鞍点均衡。我们通过研究相关的Hamilton-Jacobi-Isaacs方程得到了我们的结果。

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Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria

In this paper we study zero-sum stochastic games for pure jump processes on a general state space with risk sensitive discounted criteria. We establish a saddle point equilibrium in Markov strategies for bounded cost function. We achieve our results by studying relevant Hamilton-Jacobi-Isaacs equations.

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来源期刊

Journal of Dynamics and Games MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.00

自引率

0.00%

发文量

期刊介绍： The Journal of Dynamics and Games (JDG) is a pure and applied mathematical journal that publishes high quality peer-review and expository papers in all research areas of expertise of its editors. The main focus of JDG is in the interface of Dynamical Systems and Game Theory.