A class of risk-sensitive noncooperative games
The authors formulate a class of two-player stochastic nonzero-sum games where the payoff functions are of the ``exponential-of-a-quadratic type and the equilibrium solution is of noncooperative Nash type. The underlying statistics are Gaussian, and the players have access to partial measurements on the state of nature. In this framework, the authors study the existence of affine Nash equilibria, and bring some economic interpretation to their results. The existence of an equilibrium depends on the relative degree of ``risk-averseness of the players, and features, as expected, a threshold property. An example included in the paper illustrates its main conclusions.
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