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An equivalent mathematical program for games with random constraints

Vikas Vikram Singh, Abdel Lisser and Monika Arora

Statistics & Probability Letters, 2021, vol. 174, issue C

Abstract: We consider an n-player chance-constrained game under elliptically symmetric distributions. For a confidence level greater than 0.5 and certain class of payoff functions and strategy sets, we suitably construct an equivalent mathematical program whose global maximizer is a Nash equilibrium.

Keywords: Chance-constrained game; Elliptically symmetric distribution; Mathematical program; Nash equilibrium (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109092

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