Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7543914 | Operations Research Letters | 2018 | 7 Pages |
Abstract
In this paper we study the zero-sum games for continuous-time Markov jump processes under the risk-sensitive finite-horizon cost criterion. The state space is a Borel space and the transition rates are allowed to be unbounded. Under the suitable conditions, we use a new value iteration approach to establish the existence of a solution to the risk-sensitive finite-horizon optimality equations of the players, obtain the existence of the value of the game and show the existence of saddle-point equilibria.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Qingda Wei,