Risk-sensitive Markov stopping games with an absorbing state

Title:

Risk-sensitive Markov stopping games with an absorbing state

Creator:

López-Rivero, Jaicer, Cavazos-Cadena, Rolando, and Cruz-Suárez, Hugo

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:4e4ac1f4-c7fe-491c-a3eb-e982d7f717d8
uuid:4e4ac1f4-c7fe-491c-a3eb-e982d7f717d8
doi:10.14736/kyb-2022-1-0101

Subject:

hitting time, fixed point, equilibrium equation, bounded rewards, monotone operator, and certainty equivalent

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

This work is concerned with discrete-time Markov stopping games with two players. At each decision time player II can stop the game paying a terminal reward to player I, or can let the system to continue its evolution. In this latter case player I applies an action affecting the transitions and entitling him to receive a running reward from player II. It is supposed that player I has a no-null and constant risk-sensitivity coefficient, and that player II tries to minimize the utility of player I. The performance of a pair of decision strategies is measured by the risk-sensitive (expected) total reward of player I and, besides mild continuity-compactness conditions, the main structural assumption on the model is the existence of an absorbing state which is accessible from any starting point. In this context, it is shown that the value function of the game is characterized by an equilibrium equation, and the existence of a Nash equilibrium is established.

Language:

English

Rights:

http://creativecommons.org/licenses/by-nc-sa/4.0/
policy:public

Coverage:

101-122

Source:

Kybernetika | 2022 Volume:58 | Number:1

Harvested from:

CDK

Metadata only:

false