Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria

Chandan Pal; Somnath Pradhan

doi:10.3934/jdg.2021020

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2022, Volume 9, Issue 1: 13-25. Doi: 10.3934/jdg.2021020

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Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria

Chandan Pal^1, , and
Somnath Pradhan^2,

1.
Department of Mathematics, Indian Institute of Technology Guwahati, Guwahati, Assam - 781039, India
2.
Department of Mathematics, Indian Institute of Science Education and Research Pune, Pune, Maharashtra - 411008, India

^* Corresponding author: Chandan Pal
^* Corresponding author: Chandan Pal

Received: March 31, 2021

Revised: May 31, 2021

Early access: July 2021

Published: January 2022

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Abstract

In this paper we study zero-sum stochastic games for pure jump processes on a general state space with risk sensitive discounted criteria. We establish a saddle point equilibrium in Markov strategies for bounded cost function. We achieve our results by studying relevant Hamilton-Jacobi-Isaacs equations.

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Mathematics Subject Classification: Primary: 91A15, 91A25; Secondary: 60J75.

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References

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