cauchy distribution

A characterization of Nash equilibrium for the games with random payoffs

  • Abdel Lisser
  • Vikas Vikram Singh
    • Categories Game Theory, Stochastic Programming Tags , , , , ,

    We consider a two player bimatrix game where the entries of the payoff matrices are random variables. We formulate this problem as a chance-constrained game by considering that the payoff of each player is defined using a chance constraint. We consider the case where the entries of the payoff matrices are independent normal/Cauchy random variables. … Read more

    A concentrated Cauchy distribution with finite moments

  • Adi Ben-Israel
    • Categories Applications - OR and Management Sciences Tags ,

    The Cauchy distribution has no moments (expected value, variance, etc.), because the defining integrals diverge. A way to “concentrate” the Cauchy distribution, in order to get finite moments, is suggested by an elementary problem in mechanics, giving the Cauchy distribution as a special case. The concentrated distribution has finite moments of all orders, while keeping … Read more