<p style='text-indent:20px;'>We study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted cost and ergodic cost. Under certain assumptions, we establish the existence of Nash equilibria. Also, we completely characterize a Nash equilibrium for the ergodic cost criterion in the space of stationary Markov strategies.</p>

中文翻译：

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非零和风险敏感随机微分博弈

<p style='text-indent:20px;'>我们研究了一个非零和风险敏感随机微分博弈，用于非负正数中的受控反射扩散过程。我们处理两个成本评估标准，即贴现成本和遍历成本。在某些假设下，我们建立了纳什均衡的存在。此外，我们完全刻画了平稳马尔可夫策略空间中遍历成本准则的纳什均衡。</p>