2024/08/23 by Bivakar Bose, Bose, Bivakar, Chandan Pal +5
Economics, Econometrics and Finance · #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2408.12849
In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated ergodic optimality equations admit unique solutions. Finally, the existence of Nash-equilibrium in randomized stationary strategies is established by showing that an appropriate set-valued map has a fixed point.