Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
Volume 50 / 2023
Applicationes Mathematicae 50 (2023), 107-121
MSC: Primary 91A15; Secondary 91A10, 90C39, 90C40, 91G70
DOI: 10.4064/am2498-1-2024
Published online: 7 February 2024
Abstract
Recursive utilities constructed by conditional entropic risk measures have recently been considered in various stochastic models and their applications, e.g., in economic dynamics. We study countable state discounted stochastic games played by risk-sensitive players. More precisely, we assume that the players evaluate their payoffs in a recursive way with the aid of the certainty equivalent of an exponential utility function. Under typical continuity and compactness conditions we prove that a stationary Nash equilibrium exists.
