Existence of Nash equilibrium for Chance-Constrained Games
Vikas Vikram Singh (vikas.singhlri.fr)
Abstract: We consider an n-player strategic game with finite action sets. The payoffs of each player are random variables. We assume that each player uses a satisficing payoff criterion defined by a chance-constraint, i.e., players face a chance- constrained game. We consider the cases where payoffs follow normal and elliptically symmetric distributions. For both cases we show that there always exists a mixed strategy Nash equilibrium of corresponding chance-constrained game.
Keywords: Chance-constrained game, Elliptically symmetric distribution, Normal distribution, Nash equilibrium
Category 1: Stochastic Programming
Category 2: Other Topics (Game Theory )
Citation: University Paris Sud, LRI Working paper N. 1581, June 2015.
Entry Submitted: 06/24/2015
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