Optimization Online


Existence of Nash equilibrium for Chance-Constrained Games

Vikas Vikram Singh (vikas.singh***at***lri.fr)
Oualid Jouini (oualid.jouni***at***ecp.fr)
Abdel Lisser (lisser***at***lri.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.

Download: [PDF]

Entry Submitted: 06/24/2015
Entry Accepted: 06/24/2015
Entry Last Modified: 02/07/2016

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society