Random Games Under Elliptically Distributed Dependent Joint Chance Constraints

Hoang Nam Nguyen (), Abdel Lisser () and Vikas Vikram Singh ()
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Hoang Nam Nguyen: Université Paris Saclay, CNRS, CentraleSupelec
Abdel Lisser: Université Paris Saclay, CNRS, CentraleSupelec
Vikas Vikram Singh: Indian Institute of Technology Delhi

Journal of Optimization Theory and Applications, 2022, vol. 195, issue 1, No 10, 249-264

Abstract: Abstract We study an n-player game with random payoffs and continuous strategy sets. The payoff function of each player is defined by its expected value and the strategy set of each player is defined by a joint chance constraint. The random constraint vectors defining the joint chance constraint are dependent and follow elliptically symmetric distributions. The Archimedean copula is used to capture the dependence among random constraint vectors. We propose a reformulation of the joint chance constraint of each player. Under mild assumptions on the players’ payoff functions and 1-dimensional spherical distribution functions, we show that there exists a Nash equilibrium of the game.

Keywords: Chance-constrained game; Elliptical distributions; Nash equilibrium; Archimedean copulas.; MSC 90C15; 90C25; 90C59 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-022-02077-0

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