Cooperative Stochastic Games with Mean-Variance Preferences

In stochastic games, the player’s payoff is a variable. most papers, expected considered as payoff, which means risk neutrality of players. However, there may exist risk-sensitive players who would take into account “risk” measuring their payoffs. paper, we propose model games with mean-variance functions, sum expectation and standard deviation multiplied by coefficient characterizing attention to risk. We construct cooperative version game preferences defining characteristic function using maxmin approach. The imputation in supposed be random vector. core preferences. paper extends existing models discrete-time approaches find solutions these games.