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• W3202202364 endingPage "105033" @default.
• W3202202364 startingPage "105033" @default.
• W3202202364 abstract "This article is concerned with the infinite horizon risk-sensitive zero-sum stochastic differential game problem for a class of jump–diffusions controlled through the drift, and driven by a compensated Poisson process and a Wiener process. Under certain geometric stability assumption on the dynamics, we completely characterize all possible saddle point strategies in the class of stationary Markov strategies. We obtain our result by exploiting the stochastic representation of the principal eigenfunction of the associated Hamilton–Jacobi–Isaac (HJI) equation, which is a semilinear integro-partial differential equation." @default.
• W3202202364 created "2021-10-11" @default.
• W3202202364 creator A5034450946 @default.
• W3202202364 date "2021-11-01" @default.
• W3202202364 modified "2023-10-17" @default.
• W3202202364 title "Risk-sensitive zero-sum stochastic differential game for jump–diffusions" @default.
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• W3202202364 doi "https://doi.org/10.1016/j.sysconle.2021.105033" @default.
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