IEEE Transactions on Automatic Control, Vol.45, No.7, 1397-1401, 2000
Nash equilibria in risk-sensitive dynamic games
Dynamic games in which each player has an exponential cost criterion are referred to as risk-sensitive dynamic games,ln this note, Nash equilibra are considered fur such games. Feedback risk-sensitive Nash equilibrium solutions are derived for two-person discrete-time linear-quadratic nonzero-sum games, both under complete state observation and shared partial observation.