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Nonzero-sum Risk-Sensitive Average Stochastic Games: The Case of Unbounded Costs

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  • Qingda Wei

    (Huaqiao University)

  • Xian Chen

    (Xiamen University)

Abstract

In this paper, we study discrete-time nonzero-sum stochastic games under the risk-sensitive average cost criterion. The state space is a denumerable set, the action spaces of players are Borel spaces, and the cost functions are unbounded. Under suitable conditions, we first introduce the risk-sensitive first passage payoff functions and obtain their properties. Then, we establish the existence of a solution to the risk-sensitive average cost optimality equation of each player for the case of unbounded cost functions and show the existence of a randomized stationary Nash equilibrium in the class of randomized history-dependent strategies. Finally, we use a controlled population system to illustrate the main results.

Suggested Citation

  • Qingda Wei & Xian Chen, 2021. "Nonzero-sum Risk-Sensitive Average Stochastic Games: The Case of Unbounded Costs," Dynamic Games and Applications, Springer, vol. 11(4), pages 835-862, December.
    • Handle: RePEc:spr:dyngam:v:11:y:2021:i:4:d:10.1007_s13235-021-00380-5
    DOI: 10.1007/s13235-021-00380-5
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    Cited by:

    1. Ghosh, Mrinal K. & Golui, Subrata & Pal, Chandan & Pradhan, Somnath, 2023. "Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 40-74.

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