Random Games Under Elliptically Distributed Dependent Joint Chance Constraints

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 the set a joint chance constraint. constraint vectors defining are dependent follow elliptically symmetric distributions. Archimedean copula used to capture dependence among vectors. propose reformulation player. Under mild assumptions on players’ functions 1-dimensional spherical distribution functions, we show that there exists Nash equilibrium game.