Random games under normal mean–variance mixture distributed independent linear joint chance constraints

Hoang Nam Nguyen, Abdel Lisser and Vikas Vikram Singh

Statistics & Probability Letters, 2024, vol. 208, issue C

Abstract: In this paper, we study an n player game where the payoffs as well as the strategy sets are defined using random variables. The payoff function of each player is defined using expected value function and his/her strategy set is defined using a linear joint chance constraint. The random constraint vectors defining the joint chance constraint are independent and follow normal mean–variance mixture distributions. For each player, we reformulate the joint chance constraint in order to prove the existence of a Nash equilibrium using the Kakutani fixed-point theorem under mild assumptions. We illustrate our theoretical results by considering a game between two competing firms in financial market.

Keywords: Chance-constrained game; Normal mean–variance mixture; Nash equilibrium (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110036

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