Stochastic differential games: occupation measure based approach
Journal of Optimization Theory and Applications
Risk-Sensitive Control on an Infinite Time Horizon
SIAM Journal on Control and Optimization
Risk sensitive control of Markov processes in countable state space
Systems & Control Letters
Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
SIAM Journal on Control and Optimization
Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
SIAM Journal on Control and Optimization
Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
SIAM Journal on Control and Optimization
Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
SIAM Journal on Control and Optimization
Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
Mathematics of Operations Research
Numerical Approximations for Stochastic Differential Games: The Ergodic Case
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization
Uniform Recurrence Properties of Controlled Diffusions and Applications to Optimal Control
SIAM Journal on Control and Optimization
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We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton--Jacobi--Isaacs equations. Finally, we show that the value of the ergodic payoff criterion is a constant multiple of the maximal eigenvalue of the generators of the associated nonlinear semigroups.