Publicado en 3C Empresa – Volume 11, Issue 2 (Ed. 50)

Autores

• Subrata Golui
• Chandan Pal

Resumen

Abstract

In this manuscript, we study continuous-time risk-sensitive finite-horizon time-homogeneous zero-sum dynamic games for controlled Markov decision processes (MDP) on a Borel space. Here, the transition and payoff functions are extended real-valued functions. We prove the existence of the game’s value and the uniqueness of the solution of Shapley equation under some reasonable assumptions. Moreover, all possible saddle-point equilibria are completely characterized in the class of all admissible feedback multi-strategies. We also provide an example to support our assumptions.

Artículo

Palabras clave

Keywords

Zero-sum stochastic game, Borel state space, risk-sensitive utility, finite-horizon cost criterion, optimality equation, saddle-point

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