Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion

Autor:	Ghosh, Mrinal K., Golui, Subrata, Pal, Chandan, Pradhan, Somnath
Rok vydání:	2022
Předmět:	Mathematics - Optimization and Control 91A15 91A25
Druh dokumentu:	Working Paper
Popis:	We study zero-sum stochastic games for controlled discrete time Markov chains with risk-sensitive average cost criterion with countable state space and Borel action spaces. The payoff function is nonnegative and possibly unbounded. Under a certain Lyapunov stability assumption on the dynamics, we establish the existence of a value and saddle point equilibrium. Further we completely characterize all possible saddle point strategies in the class of stationary Markov strategies. Finally, we present and analyze an illustrative example. Comment: 28 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2201.03790 Zobrazit plný text záznamu View this record from Arxiv