Nonzero-sum risk-sensitive stochastic differential games: A multi-parameter eigenvalue problem approach
نویسندگان
چکیده
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi parameter eigenvalue approach, we establish the existence of a Nash equilibrium in space stationary Markov strategies. achieve our results by studying relevant systems coupled Hamilton–Jacobi–Bellman (HJB) equations. Exploiting representation principal eigenfunctions completely characterize points The complete characterization is established under an additive structural assumption on running and drift term.
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 2023
ISSN: ['1872-7956', '0167-6911']
DOI: https://doi.org/10.1016/j.sysconle.2022.105443