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Published in: Dynamic Games and Applications 4/2021

08-03-2021

Nonzero-sum Risk-Sensitive Average Stochastic Games: The Case of Unbounded Costs

Authors: Qingda Wei, Xian Chen

Published in: Dynamic Games and Applications | Issue 4/2021

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Abstract

In this paper, we study discrete-time nonzero-sum stochastic games under the risk-sensitive average cost criterion. The state space is a denumerable set, the action spaces of players are Borel spaces, and the cost functions are unbounded. Under suitable conditions, we first introduce the risk-sensitive first passage payoff functions and obtain their properties. Then, we establish the existence of a solution to the risk-sensitive average cost optimality equation of each player for the case of unbounded cost functions and show the existence of a randomized stationary Nash equilibrium in the class of randomized history-dependent strategies. Finally, we use a controlled population system to illustrate the main results.

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Metadata
Title
Nonzero-sum Risk-Sensitive Average Stochastic Games: The Case of Unbounded Costs
Authors
Qingda Wei
Xian Chen
Publication date
08-03-2021
Publisher
Springer US
Published in
Dynamic Games and Applications / Issue 4/2021
Print ISSN: 2153-0785
Electronic ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-021-00380-5

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