Brautbar, Mickey
Private and Third-Party Randomization in Risk-Sensitive Equilibrium Concepts
Brautbar, Mickey (University of Pennsylvania) | Kearns, Michael (University of Pennsylvania) | Syed, Umar (University of Pennsylvania)
We consider risk-sensitive generalizations of Nash and correlated equilibria in noncooperative games. We prove that, except for a class of degenerate games, unless a two-player game has a pure Nash equilibrium, it does not have a risk-sensitive Nash equilibrium. We also show that every game has a risk-sensitive correlated equilibrium. The striking contrast between these existence results is due to the different sources of randomization in Nash (private randomization) and correlated equilibria (third-party randomization).