Open AccessZero-sum games for pure jump processes with risk-sensitive discounted cost criteria
Author(s) -
Chandan Pal,
Somnath Pradhan
Publication year - 2022
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.