Two-person zero-sum risk-sensitive stochastic games with incomplete information

主讲人：郭先平

摘要：This talk is on two-person zero-sum risk-sensitive discrete-time s- tochastic games with incomplete reward information on one side. We prove the existence of the value function, derive a new Shapley equation by introducing a functional of re- wards, and prove that the value function solves the Shapley equation, which is used to construct an optimal policy for the informed player. To show the existence of an optimal policy for the uninformed player, we introduce auxiliary dual risk-sensitive games and construct an optimal policy for the uninformed player in the primal games by the optimal policies in the dual games. Finally, we give an example to illustrate effects of the reward information and risk-sensitive parameters on the value and optimal policies of the games..

主讲人简介：郭先平，男，博士，博士生导师，国家级项目获得者(2009年)。1996年于中南大学获博士学位，2002于中山大学晋升为教授，担（曾）任国际（SCI）杂志 Advances in Applied Probability，Journal of Applied Probability，Science China Mathematics，Journal of Dynamics and Games，及国内期刊《中国科学：数学》、《应用数学学报》、《应用概率统计》、《运筹学学报》等杂志编委。研究兴趣为马氏决策过程、随机博弈、风险控制、排队优化等。

邀请人：吴付科

时间：2023年3月16日（星期四）14:30-15:30