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Dynamic Games and Applications
Published in: Dynamic Games and Applications 2/2019

07-06-2018

Risk-Sensitive Average Equilibria for Discrete-Time Stochastic Games

Authors: Qingda Wei, Xian Chen

Published in: Dynamic Games and Applications | Issue 2/2019

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Abstract

In this paper, we study the risk-sensitive average payoff criterion for the nonzero-sum discrete-time stochastic games with a denumerable state space. The risk-sensitivity coefficient can take positive values and negative values. Under the suitable conditions, we show the existence of a solution to the coupled equations by a technique of the discounted approximation, and obtain the existence of a stationary Nash equilibrium. Moreover, we present some verifiable sufficient conditions imposed on the primitive data of the model for the verification of our assumption and use an example to illustrate that our conditions are weaker than those in the existing literature.
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Metadata
Title
Risk-Sensitive Average Equilibria for Discrete-Time Stochastic Games
Authors
Qingda Wei
Xian Chen
Publication date
07-06-2018
Publisher
Springer US
Published in
Dynamic Games and Applications / Issue 2/2019
Print ISSN: 2153-0785
Electronic ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-018-0267-5

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