Geodesic
Uncertainty Aversion and Equilibrium in Normal Form Games
Contributions to game theory and management, Tome 3 (2010), pp. 342-367

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This paper presents an analysis of games in which rationality is not necessarily mutual knowledge. We argue that a player who faces a non-rational opponent faces genuine uncertainty that is best captured by non-additive beliefs. Optimal strategies can then be derived from assumptions about the rational player's attitude towards uncertainty. This paper investigates the consequences of this view of strategic interaction. We present an equilibrium concept for normal form games, called Choquet–Nash Equilibrium, that formalizes this intuition, and study existence and properties of these equilibria. Our results suggest new robustness concepts for Nash equilibria.
Keywords: rationality, normal form game, uncertainty aversion, Choquet expected utility theory, Nash equilibrium, robustness. 
@article{CGTM_2010_3_a26,
     author = {J\"orn Rothe},
     title = {Uncertainty {Aversion} and {Equilibrium} in {Normal} {Form} {Games}},
     journal = {Contributions to game theory and management},
     pages = {342--367},
     publisher = {mathdoc},
     volume = {3},
     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CGTM_2010_3_a26/}
}
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Jörn Rothe. Uncertainty Aversion and Equilibrium in Normal Form Games. Contributions to game theory and management, Tome 3 (2010), pp. 342-367. http://geodesic.mathdoc.fr/item/CGTM_2010_3_a26/