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Non-Cooperative Games with Uncertainty

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  • Jozsef Konczer

Abstract

This paper introduces a framework for finite non-cooperative games where each player faces a globally uncertain parameter with no common prior. Every player chooses both a mixed strategy and projects an emergent subjective prior to the uncertain parameters. We define an "Extended Equilibrium" by requiring that no player can improve her expected utility via a unilateral change of strategy, and the emergent subjective priors are such that they maximize the expected regret of the players. A fixed-point argument -- based on Brouwer's fixed point theorem and mimicking the construction of Nash -- ensures existence. Additionally, the "No Fictional Faith" theorem shows that any subjective equilibrium prior must stay non-concentrated if the parameter truly matters to a player. This approach provides a framework that unifies regret-based statistical decision theory and game theory, yielding a tool for handling strategic decision-making in the presence of deeply uncertain parameters.

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  • Jozsef Konczer, 2025. "Non-Cooperative Games with Uncertainty," Papers 2503.01889, arXiv.org.
  • Handle: RePEc:arx:papers:2503.01889
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    1. Jürg Niehans, 1948. "Zur Preisbildungen bei ungewissen Erwartungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 84(V), pages 433-456.
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    3. John C. Harsanyi, 1967. "Games with Incomplete Information Played by "Bayesian" Players, I-III Part I. The Basic Model," Management Science, INFORMS, vol. 14(3), pages 159-182, November.
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