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

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 es...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:arXiv.org 2022-01
Hauptverfasser: Ghosh, Mrinal K, Golui, Subrata, Pal, Chandan, Pradhan, Somnath
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:2331-8422