Continuous-time zero-sum games for Markov decision processes with risk-sensitive finite-horizon cost criterio on a general state space

Abstract

In this manuscript, we study continuous-time risk-sensitive finite-horizon time-homogeneous zero-sum dynamic games for controlled Markov decision processes (MDP) on a Borel space. Here, the transition and payoff functions are extended real-valued functions. We prove the existence of the game’s value and the uniqueness of the solution of Shapley equation under some reasonable assumptions. Moreover, all possible saddle-point equilibria are completely characterized in the class of all admissible feedback multi-strategies. We also provide an example to support our assumptions.