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A note on robust Nash equilibriawith uncertainties∗

Published online by Cambridge University Press:  30 April 2014

Vianney Perchet
Vianney Perchet*
Affiliation:
Laboratoire de Probabilités et de Modèles Aléatoires, UMR 7599, Université Paris Diderot, 8 place FM/13, 75013 Paris, France. [email protected]
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Abstract

In this short note, we investigate the framework where agents or players have some uncertainties upon their payoffs or losses, the behavior (or the type, number or any other characteristics) of other players. More specifically, we introduce an extension of the concept of Nash equilibria that generalize different solution concepts called by their authors, and depending on the context, either as robust, ambiguous, partially specified or with uncertainty aversion. We provide a simple necessary and sufficient condition that guarantees its existence and we show that it is actually a selection of conjectural (or self-confirming) equilibria. We finally conclude by how this concept can and should be defined in games with partial monitoring in order to preserve existence properties.

Keywords

Robust gamesrobust Nash equilibriauncertaintiespartial monitoringconjectural equilibria
Type
Research Article
Information
RAIRO - Operations Research , Volume 48 , Issue 3 , July 2014 , pp. 365 - 371
Copyright
© EDP Sciences, ROADEF, SMAI, 2014

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