Risk-sensitive zero-sum stochastic differential game for jump-diffusions.
Somnath PradhanPublished in: Syst. Control. Lett. (2021)
Keyphrases
- risk sensitive
- stochastic games
- markov decision processes
- game theory
- control policies
- repeated games
- optimal control
- nash equilibrium
- nash equilibria
- utility function
- game theoretic
- boolean games
- model free
- reinforcement learning algorithms
- markov decision chains
- expected utility
- stochastic optimization
- optimal strategy
- decision theoretic
- markov chain
- state space
- finite state
- monte carlo
- reinforcement learning
- optimality criterion
- incomplete information
- dynamic programming
- decision theory
- average reward
- optimal policy
- average cost
- resource allocation
- supply chain
- stochastic processes
- markov decision problems
- multi objective
- cooperative