论文标题
非零和风险敏感的随机差异游戏：多参数特征值问题方法
Nonzero-Sum Risk-Sensitive Stochastic Differential Games: A Multi-parameter Eigenvalue Problem Approach
论文作者
论文摘要
我们研究了具有风险敏感的千古成本标准的非零和随机差异游戏。在某些条件下，使用多参数特征值方法，我们在固定马尔可夫策略的空间中建立了NASH平衡的存在。我们通过研究耦合HJB方程的相关系统来实现我们的结果。利用主征函数的随机表示，我们完全表征了固定马尔可夫策略空间中NASH平衡点。
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the existence of a Nash equilibrium in the space of stationary Markov strategies. We achieve our results by studying the relevant systems of coupled HJB equations. Exploiting the stochastic representation of the principal eigenfunctions we completely characterize Nash equilibrium points in the space of stationary Markov strategies.
