Risk-Sensitive Stochastic Control and Games
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This thesis considers risk-sensitive stochastic control and game problems on countable/Borel state space for discrete/continuous-time Markov decision processes (MDPs) under certain Lyapunov conditions. Here, infinite horizon control/game problems are analyzed with various cost criteria. The controllers can take action in discrete/continuous time from their admissible strategies.
Supervisor: Pal, Chandan
Markov Decision Processes, Risk-sensitive Stochastic Control, Rrisk-sensitive Stochastic Game, Zero-sum Game, Nonzero-Sum Game, Saddle Point Equilibrium, Nash Equilibrium, Discounted Problems, Ergodic Problems