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Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost · Study

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ArticleZero-Sum Stochastic Differential Games with Risk-Sensitive Cost

Anup Biswas2018

Article2018

Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost

Anup Biswas · Subhamay Saha

20 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Game Theory and Applications Adaptive Dynamic Programming Control

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References

1980Controlled Diffusion Processes 1999Infinite Dimensional Analysis 1953Minimax Theorems 1996Existence of strong solutions for Itô's stochastic equations via approximations 1995Risk-Sensitive Control on an Infinite Time Horizon 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations 2011Ergodic Control of Diffusion Processes 1999Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games

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Year2018

Typearticle

Published2018-02-15

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-018-9479-8

openalex_workW2963753068

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