Zero-sum Risk-Sensitive Stochastic Games

[1]  K. Hinderer,et al.  Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter , 1970 .

[2]  S. Marcus,et al.  Risk sensitive control of Markov processes in countable state space , 1996 .

[3]  Lukasz Stettner,et al.  Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property , 2007, SIAM J. Control. Optim..

[4]  Anna Ja 'skiewicz Average optimality for risk-sensitive control with general state space , 2007 .

[5]  Anna Jaskiewicz,et al.  Risk-sensitive dividend problems , 2015, Eur. J. Oper. Res..

[6]  Nicole Bäuerle,et al.  Partially Observable Risk-Sensitive Markov Decision Processes , 2017, Math. Oper. Res..

[7]  Risk-Sensitive Markov Control Processes , 2011, SIAM J. Control. Optim..

[8]  Amogh Deshpande,et al.  Game-theoretic approach to risk-sensitive benchmarked asset management , 2014, Risk Decis. Anal..

[9]  Daniel Hernández-Hernández,et al.  Risk Sensitive Markov Decision Processes , 1997 .

[10]  Mark A. McComb Comparison Methods for Stochastic Models and Risks , 2003, Technometrics.

[11]  M. K. Ghosh,et al.  Zero-sum risk-sensitive stochastic games on a countable state space , 2014 .

[12]  Mark H. A. Davis,et al.  Risk-Sensitive Investment Management , 2014 .

[13]  Margriet B. Klompstra Nash equilibria in risk-sensitive dynamic games , 2000, IEEE Trans. Autom. Control..

[14]  Jonathan C. Mattingly,et al.  Yet Another Look at Harris’ Ergodic Theorem for Markov Chains , 2008, 0810.2777.

[15]  Daniel Hernández-Hernández,et al.  Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space , 2011, Math. Oper. Res..

[16]  K Fan,et al.  Minimax Theorems. , 1953, Proceedings of the National Academy of Sciences of the United States of America.

[17]  M. Willem Minimax Theorems , 1997 .

[18]  W. Fleming,et al.  On the value of stochastic differential games , 2011 .

[19]  Mrinal K. Ghosh,et al.  Zero-Sum Risk-Sensitive Stochastic Differential Games , 2012, Math. Oper. Res..

[20]  Anna Jaskiewicz,et al.  Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models , 2014, J. Econ. Theory.

[21]  S.,et al.  Risk-Sensitive Control and Dynamic Games for Partially Observed Discrete-Time Nonlinear Systems , 1994 .

[22]  S. Hamadène,et al.  BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations , 2003 .

[23]  P. Whittle Risk-sensitive linear/quadratic/gaussian control , 1981, Advances in Applied Probability.

[24]  Tomasz R. Bielecki,et al.  Economic Properties of the Risk Sensitive Criterion for Portfolio Management , 2003 .

[25]  Lukasz Stettner,et al.  Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon , 1999, SIAM J. Control. Optim..

[26]  U. Rieder,et al.  Markov Decision Processes with Applications to Finance , 2011 .

[27]  L. Brown,et al.  Measurable Selections of Extrema , 1973 .

[28]  S. Marcus,et al.  Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes , 1999 .

[29]  L. McLinden A Minimax Theorem , 1984, Math. Oper. Res..

[30]  Ulrich Rieder,et al.  Average Optimality in Markov Games with General State Space , 2007 .

[31]  Sean P. Meyn,et al.  Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost , 2002, Math. Oper. Res..

[32]  Nicole Bäuerle,et al.  More Risk-Sensitive Markov Decision Processes , 2014, Math. Oper. Res..

[33]  D. Hernández-Hernández,et al.  A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains , 2005, math/0503478.