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A nonzero-sum risk-sensitive stochastic differential game in the orthant

  • * Corresponding author: Somnath Pradhan

    * Corresponding author: Somnath Pradhan

This work is partially supported by UGC Center for Advanced Study

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  • We study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted cost and ergodic cost. Under certain assumptions, we establish the existence of Nash equilibria. Also, we completely characterize a Nash equilibrium for the ergodic cost criterion in the space of stationary Markov strategies.

    Mathematics Subject Classification: Primary: 91A15; Secondary: 91A23.


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