Nonzero-sum Risk-Sensitive Average Stochastic Games: The Case of Unbounded Costs

被引：0
作者：
Qingda Wei
Xian Chen
机构：
[1] Huaqiao University,School of Economics and Finance
[2] Xiamen University,School of Mathematical Sciences
来源：
Dynamic Games and Applications | 2021年 / 11卷
关键词：
Nonzero-sum game; Risk-sensitive average cost criterion; Unbounded cost; Nash equilibrium; 91A15; 91A25;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we study discrete-time nonzero-sum stochastic games under the risk-sensitive average cost criterion. The state space is a denumerable set, the action spaces of players are Borel spaces, and the cost functions are unbounded. Under suitable conditions, we first introduce the risk-sensitive first passage payoff functions and obtain their properties. Then, we establish the existence of a solution to the risk-sensitive average cost optimality equation of each player for the case of unbounded cost functions and show the existence of a randomized stationary Nash equilibrium in the class of randomized history-dependent strategies. Finally, we use a controlled population system to illustrate the main results.
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页码：835 / 862
页数：27
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