Necessary and sufficient conditions for Nash equilibrium in games on the unit square (Q799595)

A two-person game in normal form is a specified data \(\{X_ j,u_ j\}_{j=1,2}\), where \(X_ j\) is the strategy set and \(u_ j: X_ 1\times X_ 2\to\mathbb R\) is a utility function for each player \(j=1,2\). Let \(I\) be the unit interval and let \({\mathcal D}(I)\) be the family of distribution functions on \(I\). Given a function \(K_ j: I\times I\to \mathbb R\) for each player \(j\), the author considers the following two-person game: \[ X_ j={\mathcal D}(I),\quad u_ j(F_ 1,F_ 2)=\int^{1}_{0}\int^{1}_{0}K_ j(x_ 1,x_ 2)\,dF_ 1(x_ 1)\,dF_ 2(x_ 2), \] assuming the Lebesgue-Stieltjes integrability. The set \(I\) is the pure-strategy space, \({\mathcal D}(I)\) is the mixed-strategy space, and \(u_ j(F_ 1,F_ 2)\) is the expected payoff of player \(j\). The main result is: \(F_ 1\in {\mathcal D}(I)\) is an optimal response of player 1 to \(F_ 2\in {\mathcal D}(I)\) iff there exists a number c such that \(V_ 1(x_ 1)=\int K_ 1\,dF_ 2\leq c\) for all \(x_ 1\in I\) and \(\mu_ 1(\{x_ 1\in I\mid V_ 1(x_ 1)<c\})=0,\) where \(\mu_ 1\) is the measure on \(I\) associated with \(F_ 1\). The symmetric condition applies to an optimal response of player 2. A necessary and sufficient condition for \((F_ 1,F_ 2)'s\) being a Nash equilibrium is therefore obtained.