Zero and Non-zero Sum Risk-sensitive Semi-Markov Games

Abstract: In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable assumptions we show that the game has a value. We also establish the existence of a stationary saddle point equilibrium. For the non-zero sum case, under suitable assumptions we establish the existence of a stationary Nash equilibrium.