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

Chandan Pal | Zendy; Somnath Pradhan | Zendy

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

Author(s) -

Chandan Pal,

Somnath Pradhan

Publication year - 2021

Publication title -

journal of dynamics and games

Language(s) - English

Resource type - Journals

eISSN - 2164-6074

pISSN - 2164-6066

DOI - 10.3934/jdg.2021020

Subject(s) - saddle point , zero (linguistics) , mathematical economics , mathematics , jump , saddle , state space , zero sum game , bounded function , markov chain , mathematical optimization , mathematical analysis , statistics , game theory , physics , philosophy , linguistics , geometry , quantum mechanics

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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