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Dynamic Games and Applications

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28.05.2021

Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion

verfasst von: Subrata Golui, Chandan Pal, Subhamay Saha

Erschienen in: Dynamic Games and Applications | Ausgabe 2/2022

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Abstract

In this paper, we study two-person zero-sum stochastic games for controlled continuous time Markov decision processes with risk-sensitive discounted cost criterion. The transition and cost rates are possibly unbounded. For the zero-sum stochastic game, we prove the existence of the value of the game and saddle-point equilibrium in the class of history dependent strategies under a Foster–Lyapunov condition. We achieve our results by studying the corresponding Hamilton–Jacobi–Isaacs equation.

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Titel: Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion
verfasst von: Subrata Golui
Chandan Pal
Subhamay Saha
Publikationsdatum: 28.05.2021
Verlag: Springer US
Erschienen in: Dynamic Games and Applications / Ausgabe 2/2022
Print ISSN: 2153-0785
Elektronische ISSN: 2153-0793
DOI: https://doi.org/10.1007/s13235-021-00391-2

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