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Article Dans Une Revue Journal of Optimization Theory and Applications Année : 2022

Random Games Under Elliptically Distributed Dependent Joint Chance Constraints

Jeux stochastiques avec des contraintes en probabilités dépendantes elliptiquement distribuées

Hoang Nam Nguyen
Abdel Lisser
Vikas Vikram Singh
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Résumé

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.
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Dates et versions

hal-04533252 , version 1 (04-04-2024)

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Hoang Nam Nguyen, Abdel Lisser, Vikas Vikram Singh. Random Games Under Elliptically Distributed Dependent Joint Chance Constraints. Journal of Optimization Theory and Applications, 2022, 195 (1), pp.249-264. ⟨10.1007/s10957-022-02077-0⟩. ⟨hal-04533252⟩
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