An Equilibrium Theory for Multi-Person Multi-Criteria Stochastic Decision Problems with Multiple Subjective Probability Measures

Abstract

An equilibrium theory is developed for multi-person multi-criteria stochastic decision problems wherein the decision makers have different subjective probability measures on the uncertain quantities. Particular attention is devoted to existence and uniqueness of stable equilibria in such problems, when the loss functionals are (locally) quadratic and the subjective probability measures are Gaussian.