Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142031 | Operations Research Letters | 2016 | 5 Pages |
Abstract
We consider an nn-player strategic game with finite action sets and random payoffs. We formulate this as a chance-constrained game by considering that the payoff of each player is defined using a chance constraint. We consider that the components of the payoff vector of each player are independent normal/Cauchy random variables. We also consider the case where the payoff vector of each player follows a multivariate elliptically symmetric distribution. We show the existence of a Nash equilibrium in both cases.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Vikas Vikram Singh, Oualid Jouini, Abdel Lisser,