IDEAS home Printed from https://ideas.repec.org/a/spr/dyngam/v12y2022i2d10.1007_s13235-021-00391-2.html
   My bibliography  Save this article

Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion

Author

Listed:
  • Subrata Golui

    (Indian Institute of Technology Guwahati)

  • Chandan Pal

    (Indian Institute of Technology Guwahati)

  • Subhamay Saha

    (Indian Institute of Technology Guwahati)

Abstract

In this paper, we study two-person zero-sum stochastic games for controlled continuous time Markov decision processes with risk-sensitive discounted cost criterion. The transition and cost rates are possibly unbounded. For the zero-sum stochastic game, we prove the existence of the value of the game and saddle-point equilibrium in the class of history dependent strategies under a Foster–Lyapunov condition. We achieve our results by studying the corresponding Hamilton–Jacobi–Isaacs equation.

Suggested Citation

  • Subrata Golui & Chandan Pal & Subhamay Saha, 2022. "Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion," Dynamic Games and Applications, Springer, vol. 12(2), pages 485-512, June.
    • Handle: RePEc:spr:dyngam:v:12:y:2022:i:2:d:10.1007_s13235-021-00391-2
    DOI: 10.1007/s13235-021-00391-2
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s13235-021-00391-2
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s13235-021-00391-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Xianping Guo & Alexei Piunovskiy, 2011. "Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates," Mathematics of Operations Research, INFORMS, vol. 36(1), pages 105-132, February.
    2. Basu, Arnab & Ghosh, Mrinal Kanti, 2014. "Zero-sum risk-sensitive stochastic games on a countable state space," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 961-983.
    3. Xin Guo & Qiuli Liu & Yi Zhang, 2019. "Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates," 4OR, Springer, vol. 17(4), pages 427-442, December.
    4. Qingda Wei, 2016. "Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(3), pages 461-487, December.
    5. Bäuerle, Nicole & Rieder, Ulrich, 2017. "Zero-sum risk-sensitive stochastic games," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 622-642.
    6. V. Rykov & M. Yu. Kitaev, 1995. "Controlled queueing systems," International Journal of Stochastic Analysis, Hindawi, vol. 8, pages 1-3, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Subrata Golui & Chandan Pal, 2022. "Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 95(2), pages 219-247, April.
    2. Xin Guo & Qiuli Liu & Yi Zhang, 2019. "Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates," 4OR, Springer, vol. 17(4), pages 427-442, December.
    3. Qingda Wei & Xian Chen, 2023. "Continuous-Time Markov Decision Processes Under the Risk-Sensitive First Passage Discounted Cost Criterion," Journal of Optimization Theory and Applications, Springer, vol. 197(1), pages 309-333, April.
    4. Wei, Qingda, 2019. "Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 96-104.
    5. Chen, Fang & Guo, Xianping, 2023. "Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side," Stochastic Processes and their Applications, Elsevier, vol. 165(C), pages 218-245.
    6. 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.
    7. Julio Saucedo-Zul & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2020. "A Discounted Approach in Communicating Average Markov Decision Chains Under Risk-Aversion," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 585-606, November.
    8. Wenzhao Zhang & Congying Liu, 2024. "Discrete-time stopping games with risk-sensitive discounted cost criterion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 100(2), pages 437-466, October.
    9. Xianping Guo & Yi Zhang, 2016. "Optimality of Mixed Policies for Average Continuous-Time Markov Decision Processes with Constraints," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1276-1296, November.
    10. Qingda Wei & Xian Chen, 2019. "Risk-Sensitive Average Equilibria for Discrete-Time Stochastic Games," Dynamic Games and Applications, Springer, vol. 9(2), pages 521-549, June.
    11. 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.
    12. O. L. V. Costa & F. Dufour, 2021. "Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 327-357, April.
    13. Fang Chen & Xianping Guo & Zhong-Wei Liao, 2022. "Optimal Stopping Time on Semi-Markov Processes with Finite Horizon," Journal of Optimization Theory and Applications, Springer, vol. 194(2), pages 408-439, August.
    14. Srinivas R. Chakravarthy & Alexander N. Dudin & Sergey A. Dudin & Olga S. Dudina, 2023. "Queueing System with Potential for Recruiting Secondary Servers," Mathematics, MDPI, vol. 11(3), pages 1-24, January.
    15. Yonghui Huang & Xianping Guo, 2020. "Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates," Mathematics of Operations Research, INFORMS, vol. 45(2), pages 641-659, May.
    16. Vladimir Rykov & Olga Kochueva & Yaroslav Rykov, 2021. "Preventive Maintenance of the k -out-of- n System with Respect to Cost-Type Criterion," Mathematics, MDPI, vol. 9(21), pages 1-15, November.
    17. Yi Zhang, 2018. "On the Nonexplosion and Explosion for Nonhomogeneous Markov Pure Jump Processes," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1322-1355, September.
    18. Tomasz R. Bielecki & Igor Cialenco & Andrzej Ruszczy'nski, 2022. "Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty," Papers 2206.09235, arXiv.org.
    19. Bäuerle, Nicole & Rieder, Ulrich, 2017. "Zero-sum risk-sensitive stochastic games," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 622-642.
    20. Dimitri frosinin & L. Breuer, 2006. "Threshold policies for controlled retrial queues with heterogeneous servers," Annals of Operations Research, Springer, vol. 141(1), pages 139-162, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:dyngam:v:12:y:2022:i:2:d:10.1007_s13235-021-00391-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.